[Morkilus]

Here's what I use for my raiding Bane Lords playing as Helheim:

Fire Brand; it's all about the AoE attacks. (I like Shadow Brand, but my death gems are precious).
Charcoal Shield; there's nothing that does the job more efficiently.
Horror Helm; sometimes you just have to get them to take off. Works best against indies, however.
Flying Boots; More for the strategic move than for battles. Sometimes you can hold out back and wait, then attack rear to catch the random commanders alone. Flexibility and speed are vital, since you can't have a stealthy Bane Lord.
Lucky Amulet; I think we've covered this one. Bane Lords have such high protection naturally that it takes a lucky roll to do any damage. Making even the lucky hits miss half the time will do wonders for their survivability.
Cat Charm/Anti-Magic Amulet; it depends on your enemy and if you've found good indie mages to forge these. The Cat Charm is cheap enough to throw on for a defense bonus, but the AMA might be better if you're facing priests.
I've found that I'm unsatisfied with most of the cheaper armor; you're better off leaving his plate alone.

Finally, choose your battles carefully. You generally want to fight human-strength enemies that can't do much damage and have a tendency to rout. The larger enemies usually have enough strength to punch through one of the Bane Lord's greatest strength: his default armor. The 0 encumbrance is nice, as well - no need for reinvigoration.