Partial set completion:

+20 to Dexterity (2 Items)
+30 to Energy (3 Items)
+300 Defense (4 Items)

Full set completion:

All Resistances +50
+3 to Warlock Skill Levels
+350% Enhanced Damage
+100% Better Chance of Getting Magic Items
+30 to Enchant

Patch 3.0 or later