Knee and elbow sleeves, ankle and wrist braces, back supports and compression sleeves. Ankle braces have real evidence; most of the rest is for comfort.
Sleeves (neoprene or knitted) add warmth, compression and a feeling of support. Braces go further: lace-up or strapped ankle braces limit rolling, wrist and shoulder braces restrict movement, and back supports wrap the lower trunk. Compression sleeves for calves and arms apply firm pressure.
Start with what problem you're solving. Preventing a repeat ankle sprain is well supported. Making a sore joint feel better while you train is reasonable. Preventing injury in a healthy knee, elbow or back hasn't been shown.
Randomized trials support ankle braces: in 1,460 high-school basketball players, lace-up braces cut acute ankle injuries by about two-thirds, and reviews find strong evidence that bracing prevents repeat sprains. A Cochrane review found moderate evidence that back supports don't prevent back pain. Across 23 studies, compression garments showed small-to-moderate benefits for recovery, but those studies can't be blinded. Sleeves for healthy knees and elbows are barely studied.
1,460 high-school basketball players from 46 schools were randomized to lace-up ankle braces or no braces for a season. Braces cut the rate of acute ankle injuries by about two-thirds (hazard ratio 0.32), with or without a previous sprain, but didn't reduce the severity of injuries that happened.
Across 46 systematic reviews, there was strong evidence that bracing, and moderate evidence that neuromuscular (balance) training, prevents repeat ankle sprains.
Across 15 randomized trials, there was moderate evidence that lumbar supports are no more effective than no intervention or training for preventing low back pain. It was unclear whether they help treat it, and study quality was generally low.
Across 23 studies, compression garments gave small overall benefits for recovering performance after exercise, and larger ones for strength recovery after resistance exercise. Whether pressure level or training status mattered was unclear.