If you would like a few more details, I have been exploring widely but not doing the main quest as I wouldn't be able to follow the story, so locations I could not yet enter might have more than what I have found. Perhaps a mild spoiler:
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- So far, I have discovered 4 different heavy armor sets and 7 different light armor sets; some light armor sets focus on boosting magic abilities. Most sets have 4 items (head, body, gloves, feet) and one heavy set also has a cloak (the only cloak I've seen in the game). My personal feeling is that they are well-designed and I know some players might choose to wear something based on its appearance, which you can see when in the 3rd person view (pressing the F key).
Often, but not always, these are dropped by the "boss" in a location or found in a "massive chest" which could be found after defeating a boss or found in a difficult location. Many set items are quite widespread, but it seems there is usually 1 item that is harder to find to complete a set. You will have to explore widely to complete some sets.
I may be missing something, but it seems to me the only way to see the benefits of wearing set items is to check your character page before and after; for example, your light armor might be 25 and after you wear 2 set items you will see when you check again it has increased to 25+5 (in green).