A set is group of related equipment, generally armor, that can be worn together. Set items share the same prefix in their name, similar construction or source, and a themed look for the set. The themed look provides a significant role play value.
Sets, or formal sets, are sets of items which provide additional bonuses (set bonus) when worn together, in part or whole. In spite of the set bonuses, the set items are often used piecemeal for their base stats.
See: Armor Sets
Items associated by adjective only but deriving no group benefit are not true sets but are collections, sometimes called vanity sets. These provide no bonuses when worn together other than the bonuses of each individual item, and are often worn piecemeal. When collected and used for transmogrification, they are known as transmogrification sets.
Collections usually lack the stringent definition of formal sets.
These are just a few of the many vanity sets:
See: Item collections