Like in other games, The Elder Scrolls Online has weapons and armor for combat, as well as jewelry.
You can receive all of this from different content, be it from Overland (meaning in the world like world bosses or delves) or from trials, dungeons and PvP.
You can even craft your own sets or have them crafted, as crafted weapon and armor sets can require a lot of pre-requisites that you need to accomplish first in order to craft them, like having several traits researched or having access to a DLC zone.
Both weapon and armor sets have bonuses, which is what makes them so strong and unique.
It can range from maximal 2 bonuses up to a maximum of 5 bonuses, which is often referred to as 5-5-2, meaning you are utilizing two different 5 set bonuses and one 2 set bonus.
Not every set has all weapons, armors or jewelry available, though, so if you are looking for something specific you might want to check Sets Category of ESO-Hub.com