A higher armour class within each level (light, medium, heavy) is always better. So the chitin armour is preferable to fur. However how useful it is also depends on your skill in using armour (that is, your light, medium and heavy armour skill). You will certainly have a higher AC with iron armour than chitin, but if you have 50 skill points in light armour and 5 in heavy, you're going to get greater benefits from wearing the light armour. As Johnny says, you'll probably later develop your skills in medium and heavy armour, but early on, you want to play to your skills. So when choosing armour, find out what weight of armour you're most skilled in using, and then buy or equip stuff you find that has the highest AC in that weight level. For light, that will be glass, however you probably won't find any glass armour for a bit
You can actually store all your stuff on the ground in the middle of the street and no one will take it. It won't disappear either, as long as you put it there (ie if you kill someone who has armour on, it will disappear with their body after a while). Of course, making your storage area the middle of the street mightn't be ideal for role-playing purposes
. One thing I found was that if you put your stuff in crates outside people's houses, if a guard sees you removing it later they will think you're stealing it and attack you. Same goes for crates and such in guilds you are a member in. Best to find somewhere out of the way where guards can't see you, or find an abandoned house to squat it (or download a residence mod).