I recently started looking into armour. One thing that I am not sure about is the correct gauge to buy. I want to use the armour for training as well as light sparring with blunts or wooden swords. I am not too concerned about a particular time period, I just want to buy stuff that is relatively accurate, but yet strong enough for what I have in mind.

Ben McCracken -- Long time forum watcher, first time participator.

"Historical" armor tends to be about 18-20gauge. Actually, the thickness of a particular piece varied by both it's function and across the piece itself. For example, a breastplate might be 16-to-18gauge in the center where it needed the most strength, and thin to 20gauge around the edges. Armor for the limbs might be 20-22gauge. Here again, the thickness could vary within the piece by function.
"Re-enactor" armor (as I see that you intend use it) has to be thicker not so much to prevent injury as to prevent expensive damage to the armor. Pieces like helmets, breastplates, etc that historically were about 18gauge have to be 14-16gauge (and substantially heavier) simply to preclude expensive repairs every time you fight. Likewise, limb armor that was historically about 20gauge might be 16-18gauge for reproduction armor intended to be used for sparring. It's ironic that what is labelled "costume" armor (roughly 18-20ga) in today's reproduction market is actually closer in weight and gauge to historical armor, than reproduction armor intended to be used for sparring (roughly 16-18ga).
The thicker-gauge steel provides both greater safety for the wearer and greater durability for the armor, at the cost of greater weight. One very expensive alternative is a smith that works in high-carbon steel. This achieves the light weight of historical pieces and the safety and damage-resistence of heavier mild steel. Unfortunately, there are few smiths that work high-carbon steel and the cost is prohibitive for most of us -- many times the cost of high-quality mild steel work.

Regards,
Brian M