When you equip a new weapon, make sure you look at its penalties and advantages. This can be done by pressing Square when the weapon's name is highlighted. Many weapons have special advantages that boost your Spirit (AP), Armor, Constitution (HP), and speed. More damaging weapons usually give you more health, but deduct some Speed from your character. The same goes for armor. If you have a set of armor (like Berethor's Citadel Guard chestplates, greaves, vambraces, helms, and faulds), having the entire set equipped can give you quite significant bonuses.