I've been shaving with a straight razor for almost 5 years now. I don't like to shave any other way, though I do so when I travel. The new 2-3-4 blade razors don't hold a candle to straight razor shaving, nothing gets as close. Plus, women love it. I don't know if it's the baby smoothness or the fact that you are shaving with an open blade, I've had more than one woman tell me that straight razor shaving is incredibly sexy. Word of caution - you'll tear like a little girl the first couple of weeks of straight razor shaving. Stick with it, your face will get used to it and you'll soon be experiencing the best shaves of your life.
As to sets, I can't really help you there. I bought my strop, brush, soap, honing stone, and razor separately. It's probably the best way to do so, as you can tailor the items to suit your needs. I know it seems expensive, but it's much cheaper in the long run. A lot of men I know spend more per year on their disposable razors than I did on my entire kit.
You can find all of the items above at
www.classicshaving.com There is some sticker shock involved, as these are pretty much luxury items nowadays. (You can also blame a devalued dollar for the cost, as most of these items come from Europe) Remember though that there is no reason to get the most expensive items unless you just want to. The cheaper items will work quite well and will still be much better than safety razors and shaving gel/soap. You will probably still need a safety razor to get a close shave on your upper lip though, I still haven't found a way to shave that part of my face without cutting myself.
Just remember that when you shave with a straight razor to take your time and to always use a pushing, not a slicing motion. It's very easy to cut yourself with a straight if you're not paying attention.
Enjoy! You will soon discover that nothing wakes you up in the morning like putting a razor sharp piece of steel next to your throat.