I always wear a helmet. Had too many heavy knocks on the head not to.
Always wear a wetsuit - mainly for warmth, but also assists with flotation.
PFD is a different matter. I've tried a few different types and none of them feel comfortable. My harness ends up shoving the PFD up around my ears and becomes a massive annoyance. Wouldn't wear one because for me, I think it increases my chance of a crash/lack of control. I've worn an impact vest and that's a bit better. In waves I think a pfd is not necessarily an improvement in safety - in many cases noted above, quite the opposite. I've never been in a windsurfing situation where I felt I needed a pfd. Never in 35 years.
In Tas, we've just had a change to the rules around PFD's for kayaks and other watersports. There's a new standard which we all have to abide by, and our totally functional (5 year old PFD's) are now redundant and have to be replaced as they don't conform to the new standard. My take is that someone is making a lot of money out of this sort of legislation and your average punter gets very little benefit.
The big thing with this sort of stuff is that for windsurfing in Tas, it's not mandatory to wear a wetsuit or helmet (or PFD ... yet) when sailing. I think wetsuits and helmets (for Tassie sailing) should be more way important items to wear before even considering a pfd.
It disappoints me that authorities believe they have to think for us and we can't make considered decision for ourselves.

I've worn one since I learned to windsurf (early 90s) because it was a legal requirement in Victoria. I've always used a seat harness, so I've never had comfort problems.

I sailed without it once and I felt like I was a rock trying float - that extra buoyancy when water starting is big plus.