As Raido stated if you go into each nations merchantile house and click on an appropriate category you can browse all items in that category. However, what I usually do is go to mooglebox and search for gear on that site. Once I find the piece of gear I want I will then go into the Mercantile house and type that item name into the search box at the top of the window and it will pull up a list of everyone selling it and where they are located (there is even an option to put a star next to all NPC's with that item so they are easier to find later).

If you are buying low level gear for starting out I would just stick with Ulduh and buy it there. If you are getting into the lvl 40-50 gear I would go to each nations house and search for it to find the lower price. Usually Ulduh is is comparably priced or the only nation that has an item, but sometimes you can find it cheaper in the other two nations.

2.0 is supposed to make it so that you can search all the nations at a time but until then it is kind of a laggy process to find the best deal. Hope this helps