Buy your helmet and boots locally, you really need to try them on first. Everything else can be sourced online for better prices. I am sure that MXsouth is an excellent starting point, but good deals can also be found at Denniskirk.com, motosport.com, and bobscycle.com (not sure if this URL is correct). Personally, I like EVS protection, but there is no specific reasoning for this. The Thor Force knee guard looks really good, and I know somebody that loves it. My son had acquired a pair of quadrants, and like them much better that his old knee pads.
Bottom line:
A helmet has to fit right, so you should never expect one to do it's job if you haven't made sure it fits right.
We have all worn shoes that don't fit well, and it sucks, they should be tried on as well. Don't expect a loafer (MX boots are heavy by nature) but you should try these on as well.
Most other gear is sized S/M/L, there isn't much specific fitment in it, so it can be sourced "sight unseen", but the high end stuff usually has bonus features that justify the extra cost. Buy the best that you can afford, and remember that last years best is cheap on the clearance racks.