Hi Sherrayh

The other two free items are Bergen's Honor and a staff called Final Reason (source here: http://dragonage.wikia.com/wiki/Collector%27s_Edition_of_Dragon_Age:_Origins)
I can't remember if if you gotten the UK version of the Collector's Edition or the digital one?
In any case, you should have either a) a card which gives you a code for Final Reason and Bergen's honor.
You should have gotten a code for Blood Armour and the Stone Prisoner as well - regardless of whether you have the UK retail version or the UK digital version of the game.
If you did get the digital version of the collector's edition, you should have gotten a card with a code on it for Warden's Keep (that's the man in your camp keeps talking about).
Please note that sometimes the retailers do forget to include these codes in their versions.
If you have the digital version from say Game or Steam, you should have gotten emails with keys to unlock the promo(tional) content.
You'll need to log into Bioware Social Network, create an account, make sure the DAupdater is running properly, and then click the 'redeem promo code' link in the menu point. You'll need to first click on where it says 'profile', though.
If you have gotten the UK retail version, not the digital version, you'll need to buy 560 Bioware points to buy Warden's Keep.
And if this has gotten you confused, it is totally understandable.
As for mages (and other npcs or yourself), everyone can wear helmets or armour, if they have the Strength to do it. For mages, wearing armour might hurt their spell casting abilities, though.