Armory is an indoor Level, and the first Level on the Conservatory Path, in Return to Dark Castle.
Enter from the upper left door of Ante Room II.
Bryant has to make his way through this room to the ground platform, where he has to fight two Shovel Henchmen to activate two triggers. With those triggers he can open two gates at the top platform to exit the room. All weapons Bryant discovers in the game appear in this Level.
Main Article: Enemies
Main Article: Items
Spoilers and Hints
Items added later after you find them elsewhere:
Levels on the Path