Blue Knight sets can only be obtained by killing monsters and in player shops. They are rare sets but have no bonuses. They will have higer defensive bonuses than nornaml sets. They are called Blue Sets because of the color of the name when you the item in Player shops.
Rare sets can be dropped from monsters. They can also be found in player shops. However they are extremely expensive in most cases. Rare sets will give bonuses if 2 or more pieces are worn at the same time.