The main difference between nonstick and stainless is that the folks who complain about stainless sticking just don't know how to use it correctly. The key is to let it get hot enough before adding the food.
I would only buy a "set" if it is all pieces you will use frequently. But most manufacturer's don't do that for obvious reasons. Why should they put all their "standard" sizes of saucepans in one set-no, they will include 1 standard size, one odd size-and then expect you to buy another set or open stock to get the other standard size one you want. Some folks may really need a 7-qt braiser that is in a set-where I wouldn't use it in this lifetime.
Also different types of cookware have their place. I'd love copper lined with stainless for a saucepan for example because of its tremendous heat control like when doing custards and delicate sauces. (Tho way pricey....) I wouldn't want an entire set of copper because well, you would spend your entire life polishing copper lol and that type of control isn't really needed to say cook a hamburger.
I am in the market for an enameled cast iron Dutch oven because of the ability to slow cook at lower temperatures-which isn't what stainless is known for.
The bulk of my curent cookware is hard anodized (without the nonstick). Tho unfortunately Calpalon quit making the GOOD hard anodized lines, and their new stuff isn't anywhere near as "hefty". This stuff is a workhorse-it has been thru you name it and just keeps on ticking. It was pricey, but worth every penny. Not the most attractive cookware, but fully functional. Heavier than stainless tho-I shyed away from any of the really large pieces in anodized wondering if I really could lift a full anodized stockpot lol!
I just bought a new piece of All-Clad stainless. So far I am in love with it. Tho it was a bit hefty in price. I could have bought a whole set of other cookware for the same price. The couple pieces I want I will just buy over time, but I don't need or want an entire "set".
Copper core cookware will give you some of the added benefit of copper with the majority of the maintenance being stainless (easy). But will also be on the pricey side.
I've never used regular cast iron, but everyone I have heard of that does loves it for fry pans.
One thing I STRONGLY recommend after a few recent experiences. Buy 1 piece of whatever kind of cookware you are thinking of-take it home and try it. What looks good on the shelf may be a very bad investment. I recently had this experience twice. I spent money on the Mario Batali cast iron enameled Dutch oven-bad idea. It was poorly made and I returned it. (Le Creuset or Staub are on my next shopping list.) Then I bought a piece of Calphalon Contemporary Stainless. That was also junk and is going back to the store after one use. Each of these were $100+ pans and they sucked big time. So even price doesn't always equal quality.
For stainless if you aren't going to invest in an All-Clad type budget, I've read good reviews of Cuisinart stainless and even Kirkland brand (Costco's store brand) stainless which are much more reasonable on the budget.
If you want "the best" in stainless and have the budget, All-Clad is it. Even if it means just buying 1 or 2 pieces as finances permit. That is what I am doing. That said, I have heard some bad reviews on performance on the Emeril stainless. Even tho it is made by All-Clad, it is not the same quality as their main line. One review I read, may have been Cooks Illustrated, actually melted down the Emeril pot! Scarey. (Tho I am not sure the average home cook will let it boil dry and cook it for however long they had to for it to melt.)
And everyone has a different "feel" for pans-just like for knives. The All-Clad handles dont bother me, but a previous poster was not comfortable with them.