Gil likes to keep up with the latest fashions, and has a number of casual outfits
From a real-world perspective, my guess is just that they wanted to give him a few different looks, instead of making him look identical in every scene.
In-universe, though, the golden armor is his proper battle outfit when he takes a fight seriously. He owns quite a number of casual outfits, as the Type-Moon Wikia entry on him notes:
He normally wears golden armor that makes a heavy first impression on those he
He likes to wear casual clothes, "playing attire" to ward off boredom
from being in spirit form, when not in battle, later becoming
knowledgeable on the latest fashion trends after living in modern
society for ten years. He has collected a number of casual outfits.
- Fate/Zero: The clothing he wears in during the Fourth Holy Grail War is a
fashionable white v-neck with three quarter sleeves, and python print pants.
- Fate route: During Fate, he wears a white jacket with a fur collar, a black
shirt, and black pants.
- Biker outfit: The "biker outfit" worn at the beginning of the game
and in the Unlimited Blade Works route and Heaven's Feel route is his
favorite outfit, liking it enough to ignore Shirou's group when
presented with the possibility of the ashes from the burning Einzbern
Castle dirtying it. It can be said Shirou's life is worth less to him
than his coat. He dons this clothing in the first Fate/stay night
Manga adaptation of both the Fate route and Unlimited Blade Works
(And that's not even including Fate/hollow ataraxia.)
The article cites the entry on Gilgamesh in the Fate/side material book, p. 59 (translated by Mcjon01 on p. 39-40 of this PDF):
Perhaps because he has been living in human society for the past ten years, he seems to be hip on the latest fashions. He owns various casual clothes, but his favorite is the biker outfit he wore in the Rin route.
Well, he liked it enough to overlook Shirou's group and leave instead of letting it get dirty, at any rate. I can't believe the protagonist's life was worth less to Gil than his coat…! [...]
The entry also explains the out-of-universe reason why Gilgamesh wears golden armor:
Also, during the design stage, I selfishly insisted that "Gil absolutely has to wear full golden plate armor".
Why, you ask? Well, it might be because I was repeatedly challenging a certain 60 story tower at the time…
(This is an apparent reference to the character of Gilgamesh in the game The Tower of Druaga.)