Owning all items of a set awards a cosmetic item and equipping all of them to any loadout also activates specific bonuses of which one is generally temporary, usually until the end of the current season. Although Weapon Sets are only available for CP, none of the set bonuses are game breaking in any way.

Set Name Sources
Beekeeper
Breach Set
Chain Reaction
Color Spectrum
Counter Spy
Futuristic Retro
Going Kawaii
Guardian Spirit
High Noon
Ice Crystal
Magnetic Pulse
Meltdown
Melting Point
Phobos
Porcelain Yakuza
Practical Joker
Quartz
Rambo
Revolution
Shadow Lurker
Static Discharge
Supermax
Tanker
Tourmaline
Vagabond
Volution
Wrench Rig
Zero G