If by "set" you mean "box set" as in "more than one DVD in the same package" like the Simpsons season sets, then the answer is no. WB announced (I believe at a comic convention) that they will be releasing Batman: TAS DVD box sets, but no release date or other details have been forthcoming since then, and some folks round here have expressed doubts about whether WB intends to keep their word. As of right now, there are three official WB single-disc Batman: TAS releases out, and I believe some people have received up to the fourth or fifth Columbia House DVD.