If you die from another entity melee-attacking you, you lose ALL your items.
However, if you are killed by projectiles, fire, explosions, drowning, falling, the void, or /kill, you will keep all your equipped armor.
Steps to reproduce:
Equip some armor.
Kill yourself via any of the methods listed above.
When you respawn, notice that you are still wearing the armor you equipped.
Fixed as of 1.0.4.11! (And I think actually fixed in the 1.0.4 beta versions before I even reported the bug, haha. 😛)