About set items in D2R
Set items are the green-named gear pieces that belong to a named set. Each piece has ordinary (blue-text) stats of its own, plus green-text bonuses that unlock as you wear more pieces of the same set — the first bonus at two pieces, then one more per additional piece. On top of that, the set itself grants partial bonuses at two, three or more pieces, and a full set bonus once every piece is equipped. Partial and full bonuses apply to your character no matter which pieces give them, so mixing two or three pieces of a set is often worth it even if you never complete it.
Eight sets are built around a specific class — one each for the Amazon, Assassin, Barbarian, Druid, Necromancer, Paladin, Sorceress and Warlock — with class skill bonuses and class-restricted pieces. The general sets are usable by everyone and mostly target the early and mid game: pieces have low level requirements and show up often while leveling, which makes sets like Sigon's Complete Steel, Hsarus' Defense and Angelic Raiment classic twinking gear.
Notable sets worth knowing
Tal Rasha's Wrappings is the endgame Sorceress staple — the full set grants +3 skills, 15% life and mana leech-grade sustain, huge resistances and 65% magic find at just three pieces via the amulet, belt and armor combo. Immortal King turns a Barbarian into a whirlwind machine, Trang-Oul's Avatar famously transforms the Necromancer into a vampire with fire skills, and M'avina's Battle Hymn, Natalya's Odium, Griswold's Legacy, Aldur's Watchtower and Horazon's Splendor round out the class sets. Among general sets, Bul-Kathos' Children is a solid Barbarian weapon pair, the Angelic ring-and-amulet combo is the classic attack-rating fix, and Death's Disguise or Civerb's Vestments carry fresh ladder characters through normal difficulty.