Tolkein:
Morgroth, Feanor, Finrod Felagund, the witch king of angmar/lord of the ringwraiths, the mouth of Sauron, Denethor (steward of Gondor), and Elrond appear to have worn armor
Gandalf did not, but his statement that no weapon the fellowship possessed could harm him after his return indicates that he no longer needed any. (And also note that, of the fellowship, only Gimli and Boromir wore armor on their travels which and every scene prior to Gandalf's transformation, showed him as a traveler rather than actually going to war).
Sauron actually did not wear armor by my reading, but again, this is a special case. In the Silmarillion, he fought as a shapeshifter, and is not described as fighting again until after his body was destroyed at Numenor and his spirit returned to a second body made of iron.
Galadriel and Saruman likewise did not wear armor, but neither of them were ever described fighting in a battle.
Arthurian legend:
The green knight wore plenty of armor when he met Sir Gawain
Sir Gawain and King Lot and many other knights had abilities that might well be described as fairy magic. Indeed, the only magic using characters that were not unambiguously depicted in armor are Merlin (who was generally an advisor rather than a warrior) and Morgana la fey (who did not fight directly either).
Elric and Thulsa Doom are also good examples of spellcasters who wore armor. Likewise in Song of Fire and Ice, the priest of the red god and the priests of the drowned god wear armor and fight much like anyone else and are no less magicians for doing so. (I would also argue that there does not appear to be any clear distinction between arcane and divine magic in this series either). In the same way, the various fey depicted in Tad Williams' books (Shadowmarch, Memory, Sorrow, and Thorn, et al) seem to be perfectly comfortable working their magic in armor and those among them who are the most skilled at magic are generally those who are the most heavily armed and armored and the most to be feared physically as well. Likewise even if Thomas Covenant does not wear armor in the Chronicles of Thomas Covenant, Donaldson depicts the first high lord who crafted the rod of law is depicted wearing armor in Fatal Revenant.
Now, one might argue that those are all fighter/magic users (or bards in the case of Finrod Felagund) and that they don't count. But that is really picking your mages to fit the image of the cowled and robed advisor or the seductive enchantress who manipulates affairs from behind the scenes. Nothing in the Elric novel I read seemed to indicate that he is the any less of a magician than the other melinbournian magicians in the world. He simply wears armor and also knows how to fight with a sword (which just happens to drink souls). In the lord of the rings, the witch king of Angmar and the Mouth of Saruon were depicted as among the mightiest of mortal sorcerers and while Denethor's magic (other than his use of the palantir) is not explicitly depicted, he is not someone to be trifled with either. Nothing indicates that there is any difference between those magicians who wore armor and those who didn't except that those who did not wear armor were not generally in battles. (Denethor in fact, put on his armor when he should have been in battle, but instead of facing his fate like Theoden, he despaired and burned himself).
All of this indicates that, fantasy literature often does depict wizards wearing armor, and when it does not, it is usually because those characters have no reason to wear armor because they are not exposed to physical combat or their power is such that they have nothing to fear even without armor.
