My first piece of advice for you is not to think of knives in terms of sets. Think of them instead as individual tools. I know that sounds like nitpicking, but I've got a reason for it.
If you are a typical home cook — as opposed to a professional specialist — you will probably want to spend nearly all of your knife time using an 8ʺ chef's knife. This is the cook's workhorse knife. For this reason, you really want this knife to be comfortable to use and easy to maintain. Right now the best all-purpose chef's knife on the market is this Victorinox one. Everything about it is wrong from an old-school cutlery perspective: It's got a stamped blade instead of a forged one, it's got a molded-on plastic handle instead of a riveted-on wooden one, and it's — Christ — dishwasher safe. But the truth is it's just an amazing knife. It's lightweight, it's lightning fast, and the shallow blade angle — just 15° — makes it extremely sharp. Have it professionally sharpened about twice a year (do not try to sharpen it yourself) and it'll last you a very long time. And you can buy three of them for the price of a Wüsthof Classic.
Beyond the chef's knife, it becomes a question of what do you need? Most people, I think, would agree that a paring knife is the #2 in the kitchen. Don't spend a lot of money here either. Victorinox makes a paring knife with a Fibrox handle, just like the chef's knife, that sells for less than $10. Some say it feels a little too light in the hand though, to the point where it feels flimsy. Each to his taste.
Your next buy might be a bread knife, a boning knife or a slicing knife, depending on what you like to do in your kitchen. These knives are pretty special-purpose — a bread knife has sharp serrations to dig into bread crust without crushing the loaf; a boning knife is very thin, pointed and flexible; and a slicing knife is long and straight and has little divots carved out of the metal to reduce drag. There's nothing you can do with any one of these that you can't do with a chef's knife, but doing it with a chef's knife is harder. Removing the wishbone from a chicken before roasting is frustrating and annoying if you don't have a good boning knife, for example. So keep these on your shopping list, but buy them as needed. For each, try to get the best knife for your money without busting your budget on something ridiculous; you don't need a $120 slicing knife when a $50 one is just as good.
Above all, take care of your knives. Don't leave them dirty longer than necessary, and don't leave them wet after washing them. If at all possible, store them on a magnetic rack on the wall. Short of that, buy cardboard sleeves that fit over the blades and keep them in a drawer. Knife blocks take up valuable counter space and can needlessly dull your blades if you're not careful. Speaking of dulling, pay attention to your work surfaces; stick to wood and plastic cutting surfaces. Hone your blades on a steel as necessary, and as I mentioned above, a couple times a year take them to a professional to have them ground down and re-sharpened. If you take care of them, your knives will be easy to use, safe and very, very durable.