So, I found a couple of cool demos of the Set class (and this time I understand more of them).
The best place to look at how the Set class works is in the 'set.test.php' test case. It's a bit more obvious than reading the source.
In any case, check out this site for some nice demos: http://debuggable.com/posts/cake-12s-set-class-eats-arrays-for-breakfast
And also check out this site: http://www.cakephp.nu/quick-tutorial-cakephp-set-class-part-1