Yeah there is definitely better armor than Sheppard's or even the pre-order bonus stuff. Right now I'm using the Warsworn armor and it's got pretty good stats. Chest piece offer something like 120 for armor alone. I've also seen considerably better stuff in the shops at Rathir for well over 100,000.
The only benefit to the pre-order stuff is that they offer an XP bonus when in Reckoning mode to level up faster, that's it, the rest of their stats are terrible.
When you get the max level blacksmithing and make your own Prismere armor, you can get some insane stats. I had the best set that you can get in the game(vengeance's armor), which gave me around 1100 armor and I was at 800 hp at the time. After I made my own prismere armor it kicked me up to 1900 hp and 2150 armor, which makes even the hardest fights a laugh.