Equipment Sets are 3 pieces of Equipment who have a special relation with each other. These items have the same requirements, and their designs correspond with each other.
You can recognize Equipment Set Pieces because of the light blue text under each item description that tells you what you get when the set is complete. For Example, the Set of Kindness (Ring of Kindness, Robe of Kindness and Mask of Kindness), AKA Shanna's Healing, your healing spells will heal for 50% more:
Some Sets also give chance for double, triple and even quatruple damage, for spells, melee attacks and ranged attacks! Last but not least, there are sets which increase the effects of the pieces itself, and sets which save your mana reserves.