Hero's Equipment

There are many ways to get equipment for heroes, but here are my suggestions.

Level 1-9 : Trainee Set + Practice Weapons
You can get these from Wood Chests. These are the only chests where you can buy keys with gold.
It is possible to get Purple items too, so there is no reason to spend Arena Points on Hound set.
Once a week, you can get a Blue Trainee item by completing Tower of Fighter in Contest Pagoda.

Level 10-19 : Leather Set + Wood Weapons
You can get these from Leather Chests. You can get 3 keys daily, by complete Development Quests. It is possible to get Purple items also, so again, no reason to spend Arena Points on Mongoose set.
Once a week, you can get a Blue Leather item by completing Tower of Warrior in Contest Pagoda.

Level 20-29 : Steel Set + Iron Weapons
You can get these from Bronze Chests, but the keys do not come easy.
Purple items here are BoE (Bind on Equip), which means that once equipped by a hero, no other heroes can use it.
Completing the Tower of Gladiator gives a Blue Steel item.
Stores can sell Blue items, but you may have to refresh many times, hourly to get them.
Level 30 stores refreshes every 30 mins.
I will suggest buying from store a complete Steel set. And then get Falcon items from Arena.
For Arena items, there are no set bonus, so you won't need complete sets, just pieces.
From level 21-24, I'll stay with the complete Leather set. At level 25, I'll suggest switching to Falcon, minus the armor. At level 28, switch to Steel set to get the set bonus.

Level 30-34 : Chain Set + Steel Weapons + Wolverine Arena items.
This is when it starts to get tough. Blue items for this range are BoE. Buying these items for each hero can get expensive.
Here, I'll suggest buying only the weapon, and using the Wolverine Arena items.
If the Steel set is not needed by another hero, using the Steel set through level 34 is not bad at all.
The Tower of Champions give Blue Chain items as reward. So if you're down to a last piece to complete a set, shopping in store for the last missing piece is not a bad idea.

Level 35-39 : Soldier Set + Great Weapons + Wild Boar Arena items.
Definitely use Wild Boar Arena items, unless it is your top hero and you want to pamper him/her. You may also want to consider skipping this weapon and wait for level 40.

Level 40-44 : Valor Set + Mercenary Weapons + Crocodile Arena items.
Again, use Crocodile Arena items. If you skipped the Great Weapons, consider getting these weapons, especially your top heroes.

Level 45-49 : Fury Set + Guard Weapons + Shark Arena items.
Here you may get Fury items from Tower of Champions. Again, since they are BoE, you probably only want to buy the missing last piece to complete the set. For all others stay with the arena items. If you got the Mercenary weapons, consider skipping the Guard weapons.

Level 50-54 : Guard Set + Royal Weapons + Tiger Arena items.
Here, unlike the previous levels the complete set is available at level 50, and you get no upgrades until level 55. So you really want to buy the whole set and equip it at level 50. This is also the final weapon you can get, short of buying from Shops with diamonds, so you don't want to miss this weapon. It is costly, at 18720 gold, but since it is the last weapon and will may last you all the way, you don' t want to miss this upgrade.
Blue Guard items are the rewards from Tower of Eternity, but it is not easy to complete this tower. When you do, it is again worth considering buying the last item in stores to complete the set. If the missing piece is boots, armlets or legguards, these Green Guard pieces are also available in Arena Rewards.
Otherwise, Tiger Arena items will do as well.

Level 55-59 : Knight Set + Leopard Arena Items
If you are using Tiger Arena items, you will want to upgrade each item from level 55-59 with Leopard Arena items.
If you completed the Tower of Eternity, you can get an extra reward from Contest Pagoda (button to the left of 'Rank'). That item will be a Blue Knight item. Unfortunately, you cannot buy missing pieces from stores nor Arena rewards. I am still missing the Knight's Helmet to complete my first Knight Set.

Level 60-64 : Lion Arena Items
There you go, short of buying from shops with diamonds, Lion Arena items are the best you can get. 3 of the Green Zealot items are available in Arena, but they do not complete the set.

Level 65-69 : Marsoon Arena Items
Worth the upgrade, just leave the lion items for the heroes below.

Level 70 and up
I'm so close, but no .. I am still waiting for my first level 70 hero. :)


So, a recap, looking at this from a different angle :

Chests
Wood chests, buy keys for level 1-9 items.
Leather chests, complete daily devleopment quests for level 10-19 items.

Pagoda
Tower of Fighter : Level 1-9 items.
Tower of Warrior : Level 10-19 items.
Tower of Gladiator : Level 20-29 items.
Tower of Champion : Level 30-34 items.
Tower of Eternity : Level 45-49 items.
Extra Reward : Level 50-54 items.
Do them weekly.

Arena
Blue Arena items are not as good as Blue Set items.
They do not have Set bonus, so you do not need to wait for complete set for upgrades.
But they are more 'affordable', since these items are not BoE.
When you need to buy a, let's say level 49 arena item, do NOT use your level 49 hero.
Instead, use your lowest hero above level 40 to buy the level 49 item.
This way, hopefully when the level 49 hero reaches level 50, hopefully he has enough arena points to buy the complete Tiger Set.

Stores
Shop here especially for your last missing piece.
Stores refresh every 1 hour. Level 30 stores refresh every 30 mins.

Color of Equipment
I received a question on color of equipment for stores and realized I was not clear here.
Do NOT settle for anything except Blue items. Work hard on refreshing all the stores.
No black items. And the only Green items you want to consider are "fillers" from Arena Stores. And only the last piece to complete the missing set.