Some basic safety equipment you should seriously consider is eye protection (a full face shield, or at least protective eyewear), ear protection (for some power tools), dust mask, respirator, or air filtration system to protect your lungs from dust.
Gloves and long sleeves can be dangerous when working with a lathe or grinder as they can catch and pull your body into the machine. Long hair should also be taken care of as it can also be caught in machinery.