You will fall. The quality of your protective gear helps determine how much it’ll hurt.
Knee and elbow pads should have a hard outer shell and fit snugly but not too tight. Knee pads are especially important. You can find these at any skate retailer – brands like Triple Eight, One Eight Seven, Smith, or Pro-Tec all make good options. Avoid anything by the Rollerblade or Performance brands – many knee pads are designed for speed skating and other sports where the pads are not used as “just in case”. In Roller Derby, you WILL fall on your gear – a lot. If buying knee pads new, $50-80 is a reasonable price point to start with. If that sounds expensive, look for used gear to start out rather than buying something that won’t hold up or protect your body… knee surgery is a lot more expensive than a good set of pads!
Elbow pads aren’t quite as crucial as knee pads, but you still need a hard outer shell and good snug-but-not-too-tight fit.
Wrist guards come in two types: those with a hard outer shell, like knee and elbow pads, or those with a hard plastic insert. Which type you use is up to personal preference – just make sure you’re wearing them properly. If you’re not sure if you have them on right, ask a teammate! One word of note – wrist guards (and all gear, but especially wrist guards) have a tendency to get SMELLY. Airing out your gear after every practice, washing it (usually by hand in the sink, though some people use the dishwasher), and even spritzing it with cheap vodka are ways to keep the stank at bay!