I have in more than one game assembled Armor of the Damned and Cloak of the Undead King. In my most recent game, my lead hero had Armor of the Damned, Ring of the Magi, and Wizard's Well, though I prolonged the game a bit to collect the last part of the Well. It might have been faster to finish without it than to go out and retrieve the last piece, but I was expecting to need numerous castings of Dimension Door, and feared that without the Well, I would run out of mana before I reached my destination.
I believe I built Statue of Legion in one of my games. I don't think I ever built Power of the Dragon Father, though I have in several games gotten at least part of it. I have gotten parts of Titan's Thunder, but never the full artifact in one game.