Some armor and weapons belong to "sets" and you can see this if you inspect its info. You get bonuses for wearing multiple pieces of a set. You'll need to wear enough of one of the sets to get the maximum bonus. According to the Torchlight II wiki, it looks like the number of pieces varies from two to seven.
There's no easy way to get this (that I know of), so you'll just have to get lucky with the drops. What I did was throw all set items into my stash chests until I had enough to get a full bonus. This took until Act II for me. I also tried to pick set items as quest rewards and it's worth checking the vendors to see what they sell, as well. After I had enough loot, I put everything on to pop the achievement (which unlocks immediately), then went back to my old armor and sold all the stuff in the stash.
Be careful! I noticed that some armor pieces had names that were similar to set item names, but were NOT set items. Look at the item's info and make sure it includes set bonus info. If it doesn't have that, it's NOT a part of a set.