Well, you have 12 slots for your gear: 7 armor pieces + 3 jewelry pieces + 2 for weapons (staff and bow are counted as 2 pieces).
Any piece gives you a bonus. But the most satisfying bonus comes from a full set, so (if you don't already have mythic item), the most logical combination is two 5-piece sets and a monster/weapon set.

Now about your stats. Since your resources aren't as endless as Infinite Archive, you should manage them wisely.
1) All mobs in the game have 9k armor (ground, public, and normal group) or 18k (hard content), so (as a damage dealer) you need 9000-9100 penetration to prevent your damage from being reduced.
2) Your stats:
- Primary stats (magicka, stamina, health). If you have less than 20k health, you'll die very often in hard content. And, of course, every skill drains your stamina and magicka. And don't forget about your "core abilities" (crouching, blocking, rolling, etc.).
- Armor. It mitigates incoming damage and is capped at 50% (33k armor). Very useful if you're a tank.
- Damage (before crit). Spellcasters primarily increase magicka, while stamina builds primarily rely on weapon/spell damage.
- Crit Chance. Critical hits not only increase your damage but also can trigger other abilities (for example, Hexos' Ward set grants you a shield on crit).
- Crit Damage. Every time you land a critical hit, you increase your damage. Typically, it adds 50% to damage, but you can increase it to cap at 125% (in your character's advanced stats, this appears as 75%).

You can obtain all of these from:
- passive skills (class, armor, weapon, world, guild, etc.),
- equipment (sets, glyths and traits),
- Mundus Stones,
- active skills and potions (temporary buffs)
- food/drink.
Also game gives you a bonus to your stats (it decreases every level to zero at 50 lvl).

Maybe I forget something but I believe it's mostly all you need to answer your question yourself...