In one of the first episodes, I believe Season 1, Episode 3, Doctor McKay aquires a device which shields him from various kinds of damage. While he initially fails to turn it off, it becomes clear that he can do it, when he really wants to. The device is visible on his chest in the picture below:
In the subsequent episodes there are many occasions, where McKay would have had time and incentive to wear this device. I am specifically thinking of Season 2, episode 1, when he goes to activate the shield with only 2 guards, whining about the dangers, as he sets off. He ends up pointing a gun to Wraiths and being saved by Teyla. But several episodes with Kolya should provide further instances where this device would have been used.
So, why does he not use it?