Entombed has an enormous array of weapons, armor, and items for your characters to use. To equip a weapon or armor, first go to the equipment menu by pressing E. You can then select the body part you'd like to equip. For weapons, select either hand. For armor, select the part that the armor would go on: Head for helmets, torso for tunics, hands for gloves, feet for boots, arms for shields, and waist for leggings.
If after selecting a location, you don't see the weapon or armor you wanted to put there, it means your character is unable to use that item. You may be missing a skill. See Entombed Skills. In general, melee characters can use more weapons and armor than casters.
As you dive deeper into the dungeon, you'll find more and more valuable equipment.