I didn't research when I first started, but now I research everything. For example, I have a story where everyone lives in a city mostly without sunlight and--since, even though it's fantasy, the people are still human--I wondered what problems might come up: health problems, genetic deformities, and etc. I was pleasantly surprised with all the information I learned.
I, too, read up on weaponry--to find the best weapons suited for each character and setting, and also the coolest.

I do clothing and cloaks. I've researched mechanical animals and birds--things that really don't exist in reality in any great number.
Even in fantasy, and I'd go as far to say ESPECIALLY in fantasy, research is helpful in your writing. It makes it sound like you know what you are talking about (That you actually
care about your story and how things work) and every fantasy/sci-fi needs an essence of reality or people aren't going to buy iinto it. Wether or not you research is totally up to you, but I have always found that it helps.
Also, in researching, I have found so many new bits of information which tie into the plot of the story and make it ever so much grander and more complicated and unexpected than I ever could have without it.
