Your inventory holds a large number of items, but those items are typically tucked away in a backpack where they take some time to find should you suddenly need them. Worn Items are items you wear in easily-reachable spots on your person so you can access them quickly.
Without any additional equipment, an adventurer may carry up to four non-heavy items (other than clothing) as worn items, typically in their pockets. While retrieving an item from your inventory during combat takes three frames - an entire turn for low-level combatants, retrieving a worn item takes only one frame. You should wear items you might need suddenly in the middle of a dire situation, but keep in mind that worn items are also more likely to be pickpocketed.
To increase the number of items you can wear, or to wear heavy items like weapons, you'll need additional equipment such as the following: