By "set" do you mean just armor, or a complete loadout of armor, shield, and weapons? Ideally you would coordinate the entire loadout, because then you can choose armor that gives your weapons offensive bonuses.
So what kinds of weapon do you want to use? Swords? Guns? Bombs? A mixture of swords and bombs? What? This is really the big personal choice that you make in designing your loadout.
The cheapest items are the Cobalt/Defender/Calibur/Blast lines. You get their recipes free by completing rank missions (which you should do). But free is not always good. The armor is some of the worst in the game. The weapons are decent but not very interesting. So, even though they are cheap, don't spend your resources on them. Rather, spend a little more to get items that you really want.
While you think about all of that, here are some links:
my detailed armor guide
my detailed sword guide
the semi-official Gunslinger Guide
the semi-official Bombing Guide