While X-men: Apocalypse does not reveal the origin of the armor Apocalypse wears, it is presumed to be the same exotic device worn by the comic version of the character. The suit is a device created by the Celestials. It has no official name or designation and has been dubbed the "Apocalypse Armor".
According to an interview with CBR, Rick Remender, writer of "Uncanny X-Force" reveals the origin of the Apocalypse armor and its unique pedigree: the armor was created by the Celestials who provided it to "evolutionary caretakers" of emergent species and enhanced the power of their wearers.
Remender: I planned out the armor that Phil designed and Evan wears. The armors aren't like, "Hey here's some armor." These are Celestial-made armors that enhance and give whoever is Apocalypse a lot of power. You'll be seeing that armor in some flashbacks maybe during Egyptian times. That armor is going to play a historical role as well. The Brotherhood unearthed it and brought it in to give to Evan. It was a young Apocalypse's armor.
Interviewer: So, the armor is almost Apocalypse's symbol of the authority bestowed upon him by the Celestials?
Remender: I've worked all this out. We're going to be seeing a lot of the mythology of Apocalypse carry on into "Uncanny Avengers" moving forward. It's not quite a blood line. Apocalypse was the first mutant and thus was chosen by the Celestials to protect and care for the other mutants and to make sure that the humans didn't wipe them out before they had an opportunity to flourish. That was his cosmically granted charge.
As a result of this unique cosmic origin, it is likely the armor is resistant to Magneto's power, no matter how much it may resemble metal, it is probably some unique composition making it extremely durable and resistant to physical and energy attacks. In the comics, he boast that Thor's Jarnbjorn (his enchanted axe) cannot harm his armor.
Thus any time we see Apocalypse in his armor, and it resembles this particular shape, it is likely the same Celestial-designed armor. The design above is a variation of the original design which also had extensive cables which connected the back of the armor to Apocalypse body and extended to the back of his hands/gloves.
If you look at the movie version you can see the cables on his upper arms, held close to the body (instead of hanging free which might have been difficult to deal with in terms of filming and costuming) so they still are part of the design, however different from the original costume designs from the comics.
As to the cables and why they exist: No answer has ever been definitively given. Given their creation by the Celestials, they could have no discernible purpose to Human science.
Apocalypse's armor gives his already powerful mutation, even greater range and facility.
He can transform his flesh and the armor into whatever he wants them to be, including wings, tentacles, rockets or blasters. There doesn't appear to be any limits to their ability to transform.