Find a used sports store, and invest in helmets and pads of all kinds (get extra for your friends). Make alterations to the helmets to make them impossible to remove by others (drill holes for chains or bike-locks to lock on your body, or cover the buckles with duct-tape); use your imagination!
Wrist-guards and gauntlet-gloves are excellent for arrest-proofing yourself. If you are VERY serious about this, cover the wrists of your apparatus with WOOD JOINERS (you'll find them in the nail-section of any hardware store or Fred Meyer). Use two pliers to bend them to your comfort, then lighty glue or tape them facing up on the wrist section; then stretch duct-tape right through the spikes, around the wrists to secure them. THIS TECHNIQUE CAN BE APPLIED TO ANY PIECE OF ARMOR, JUST BE SURE THERE IS PADDING OR A HARD BARRIER BETWEEN YOU AND THE FLAT PART OF THE JOINERS.
If your local Army/Navy surplus is out of gas-masks, go to the hardware store, and find the painting/industrial masks. The ones you'll need usually have two filter cans on the sides, and they go for $20-$50. You'll still need eye protection, and swimming goggles will do the trick, or any eyewear that's airtight, or at least waterproof.
(Inspired by the previous post, thanks!) Buy lots and lots of aluminum foil, and wrap it around cardboard "shields" that can be used as mirror light "weapons". These will be easy to fold and conseal until the perfect moment. If you want more protection, use a wood, plastic, or metal shield. If you run out of foil, use chrome paint and chrome tape (yes, it's somewhere in most hardware stores).
A cheap way to make plasic shields can be to find used snow-disks and add handles, or find large garbage-cans and cut them vertically into halves or 3rds, and add handles.
Finally, if you can afford or borrow some, use LEAF-BLOWERS to repel the tear-gas!