Actually most people really into cooking don't usually buy "sets"...they buy individual pieces, but not many of them. You'd be amazed how much difference a really good saute-type pan can make, and will be the most expensive piece, and you don't have to go all the way up to All Clad.
If you want to read some stuff about the different kinds of materials used for pots and pans with their advantages/disadvantages, a few suggestions, and links to more info, check out my answers at least in these previous questions:
http://answers.yahoo.com/question/index?qid=20100801121640AAWLFJS
http://answers.yahoo.com/question/index?qid=20100817074854AAEJGNp
To those couple of pans and pots, I'd add a good enameled Dutch oven (Le Creuset, or Lodge--much cheaper but good quality), and for me at least a stainless steel pressure cooker for stovetop cookware (since they'll do all kinds of things so quickly--including stock, stews, braises, etc: http://missvickie.com/workshop/schoolframe.html ).
You might also want to check out amazon.com for their sets or their individual pieces. Reading the "Customer Reviews" for each gives you a wealth of real-world information!