I actually have a special outfit I made just for my Persephone, love those shoes man, though I hardly ever see anyone wearing the robe or corset in it, they're both so pretty, but they're that certain shade of blue that's like...almost neon?
I can't think of a certain item off the top of my head that I bought and couldn't use...oh wait! The White Russian item, I mostly bought it for the belts and the dagger, but I find it's kinda hard to work in the dagger, you either can't see it or it sits funny on top of whatever legs/shoes you're wearing. Though I think I've manged a few outfits with it.
Other than that if I get something I can't wear, I just end up buying items to go with it then. crying Much to the detriment of my gold count.
You know I think I'll go wear that Persephone outfit now, if it doesn't glitch on me. Ha.