Armor sets are combinations of Legendary (4-star) Jewelry and a Dragonforged Armor that when collected and equipped add a stat bonus to your knight, usually in a combination of attack, defense, and HP or any of the three (Attack and Defense only, Attack and HP only, etc.) in addition to the Ring/Amulets stats (again, can be any combination of Attack, Defense, or HP).
The set's elements will always match the armor's elements. For example: If the armor is Fire/Water, the Amulet will be Fire and the Ring will be Water (or vice-versa). Armor sets have a "chain link" symbol in the top-right corner of armor slot screen, exactly the same as the set jewelry.
Currently, obtaining Ring and Amulet sets can only be done through Chests (Enchanted Chest, Dark Prince's Chest, etc.) or through the milestone rewards in a Guild War or Raid. Originally there were only 4* Rings/Amulets, but now there are also Dragonforged-specific sets and Shadowforged-specific sets.
See Rings and Amulets for further details.