Sets are a subset of lists in grasshopper, with some useful restrictions, though on the whole their usefulness is quite limited.
Sets are limited to more primitive data types, such as numbers, strings and vectors, where there is an easy test for equality, it does not allow more complex objects like curves and breps. A set does not allow the same element to appear more than once, though note that items that look similar might be identical, for example an integer and float, with the same value. However, they are not the same.
There are many functions in the sets tab in grasshopper that seem better suited to lists – for example components that assume there might be identical elements in a set.
An introduction to the different containers for data available in grasshopper is here: http://www.grasshopper3d.com/forum/topics/lists-sets-strings-trees