Hello!
I cannot speak to anything that may have been changed in DF2014, but I got partway through what would have been some very
extensive testing concerning exactly the question you are asking. I did not feel like putting in nearly the amount of crazy effort to present it attractively, as others like Urist DaVinci have done, but I came away from a limited, inconclusive run (i.e., <95% CI) fairly convinced that I had come upon the optimal kit for a well-trained military dwarf of average body size.
The specific may vary depending on how exactly you prefer to outfit your dwarves, but below are given the best values for damage reduction against hits that are received.
With proper layering concerns applied, you want: adamantine mail; steel rigid armour bits; copper crossbows; adamantine edged weapons or silver blunt weapons; adamantine shields; adamantine clothing items.
If you allow for artifacts, then you instead want: adamantine mail; steel rigid armour bits; platinum crossbows; adamantine edged weapons or platinum blunt weapons; adamantine shields; adamantine clothing items.
Knowing all of this, I also know that the benefits offered by the best possible kit are negligibly better than the benefits offered by a considerably more conservative kit which is: adamantine mail; steel rigid armour bits; adamantine edged weapons and copper crossbows, or silver blunt weapons; the lightest masterwork shield in your price range; silk clothing items.
Your shield material only matters for three concerns: bash damage, price/rarity, and weight, the former being negligible even when optimised and the latter having numerous effects on combat. Any shield will fully block any attack, including dragonfire, regardless of its material so there is no practical reason to invest in anything but the lightest, masterwork shield you can find. You want steel rigid bits because adamantine is not dense, which prevents it from stopping blunt damage and projectiles as well as denser metals; depending on what mods or moods you have, you might even prefer silver or platinum or slade for the rigid bits, though these would obviously slow down your dwarves due to weight. Steel is the happy medium. Adamantine really shines for clothing items, mail shirts, and especially edged weapons.
Speaking of weapons! I know you did not ask about those, but I will talk about it anyway. Crossbows are terrible bludgeoning weapons, so the super-optimised option of silver or platinum will give only negligibly more throughput than copper, and the numbers really become muddied if you are comparing across skill levels and quality levels; simply, copper is close enough to perfect, especially if you just use the highest-quality ones you can. If you are going to give a dwarf a crossbow, then he should also be given a battle axe and vice versa; marksdwarves will actually use battle axes in melee, and axedwarves will actually use crossbows at range, when they have both assigned so long as the shield and weapons are in the right order: shield, then crossbow, then axe. It is arguably not worth giving a marksdwarf a blunt weapon, or a blunt weapon user a crossbow, since most of the time dwarves with silver warhammers will still keep using their copper crossbow in melee.
My military is usually a squad of axedwarves/marksdwarves and a squad of hammerdwarves/macedwarves, with the fortress guard a squad of exclusively marksdwarves with wooden bows and no melee weapon.