Hi ^^
Set items are items that work together in a set. For example, the Frozen set. There are four Frozen items (in order of rarity):
1) Frozen Water
2) Frozen Book
3) Frozen Heart
4) Frozen Candle
Alone, each tower has specific statistics given to the tower wielding them. For example, Frozen Water's is:
+ 30% damage
- 20% experience
- 20% gold
However, when multiple set items are in the same inventory, the item set bonus becomes active. This active bonus is in green text. For the Frozen set, the bonus active for having TWO Frozen items is:
> Slow target by 10%
When all FOUR Frozen set items are in the inventory, the tower gets both bonuses, the 4 set bonus being:
> Kill a creep after wearing the set for at least 1 minute, to sacrifice the set for a frozen daemon tower card.
In this case, the full set bonus is that you need to have all four items in your tower inventory for 1 minute AND kill a creep before the items disappear and the Frozen Daemon tower card spawns in your deck.
The other Set items work the same way, but the Frozen set is the only one so far to spawn a tower card.
The advantages of using set items are the green text bonuses present. For example, the Withered set - the ability to send minions back in time is a huge advantage if you're having trouble killing a boss, or the Horseman, for example. When the Withered set is complete with all three items, the damage amplification assists with making it easier to kill minions.
As for the Impatience's Wrath set, you actually have to be starting rounds as soon as possible to build up the bonus. The Unrelenting Force item is great on its own, but needs attack speed to complement it, which is why it's best to use the entire set.
Hope this helps :)