If you're going to be getting a set, stainless is probably the best all-around choice IMHO. Personally, I never bought a set---only open stock of the pans I needed. I think sets put in more than you really need). I have mostly calphalon (you need to use a little differently than stainless, but is virtually non-stick), one non-stick used only for cooking eggs, cast iron skillet for cooking chicken, etc. I cooked in restaurants while in college and found that one type of cookware was not the best for all things.
Lastly, I think it is worth it to put the money into a good roaster (either stainless or anodized) because you can make gravy on top of the stove in the same pan you roasted in (and that makes cleanup lots easier, too!).