Weapons boost the Attack stats. Armour boost the Defense stats. Amulets boost the Magic stats. Greaves and Gauntlets boost Defense and HP stats. Boots boost Agility and Dodge helping you to evade attacks from bosses. When you own all six equipment items of the same type you get an extra boost. You can see all these now, on their own pages as well as here.
There were added specials that unlock after every 20 character levels starting from character level 20. Specials depend on your class and depending of it give huge boost to certain stats. These are not needed to complete set bonus boost, however making these is definitely worth because their boost depends on your current stats. The better stats you have, the more they boost.
You can find these on their own pages with more details.
Stage I Equipment
Also known as Common Equipment are the following sets :
Stage II Equipment
Also known as Rare Equipment are the following sets :
Stage III Equipment
Also known as Epic Equipment are the following sets :
Stage IV Equipment
Also known as Legendary Equipment are the following sets :
^ However Darksteel and Bloodsteel are both Magical Equipment, but they are part of the Stage IV Equipment set.
Stage V Equipment
Also known as Mythical Equipment are the following sets :
Stage VI Equipment
Also known as Magical are the following sets :