It depends on what you plan to turn and how much you want to spend. I've been turning for a long time and have everything from High carbon steel tools to carbide. The best deal by far is High Speed Steel. That's when you weigh price and quality and usefulness.
The best tools in my opinion are the new powdered metal tools from Doug Thompson. www.thompsonlathetools.com
These are state of the art metal for turning. They have really good shapes, they hold an edge well and they sharpen easily.
The new carbide tools are handy and have their place but they are not as all around useful as a good quality HSS tool that has the proper shape and proper grind. That's why I like the Thompson tools.
There are lots of inexpensive HSS tools. Some are decent to learn to sharpen but they often come with a grind that is hard for beginners to use.
The older High Carbon tools are pretty good but you must be extremely careful when sharpening them. If you blue the edge it will lose it's temper and not hold an edge until you grind past the blue. Pick up these tools if they are really inexpensive because they do cut well when sharp. Just be really careful when sharpening.
I don't recommend sets. Buy a 3/8 or 1/2" bowl gouge, a 3/4" rough out gouge, a 3/8" spindle gouge, a square nose scraper, round nose scraper, 3/16" parting tool, and 3/4" skew. With these tools you can turn almost anything.