These sets can be bought from NPC's or obtained by killing monsters.
Blue Knight sets, obtainable from monster drops and player shops, are rare but offer no bonuses. They provide higher defensive stats than normal sets. The name “Blue Sets” comes from the blue color of their names in player shops.
Rare sets can be dropped from monsters or found in player shops. They are usually very expensive but provide bonuses when 2 or more pieces are worn together.