The Armory provides further experience for military units trained/constructed in the city. A unit produced in a city with an Armory comes out with two promotions already! Build it in your military hubs.
An armory is a military building which stores and maintains weapons during peacetime. Unless on duty, soldiers do not usually carry their weapons with them at all times (especially if their weapons are machine guns or rocket-propelled grenades).
Armories are generally heavily armored and guarded, and may resemble a full-fledged castle more than a warehouse. A military's weapons need to be protected from theft, be it minor pilferage or a rampaging mob bent upon insurrection.