A Set cares about uniqueness—it doesn't allow duplicates. Your good friend the equals() method determines whether two objects are identical (in which case only one can be in the set). The three Set implementations are described in the following sections.
HashSet : A HashSet is an unsorted, unordered Set. It uses the hashcode of the object being inserted, so the more efficient your hashCode() implementation the better access performance you'll get. Use this class when you want a collection with no duplicates and you don't care about order when you iterate through it.
LinkedHashSet : A LinkedHashSet is an ordered version of HashSet that maintains a doubly-linked List across all elements. Use this class instead of HashSet when you care about the iteration order. When you iterate through a HashSet theorder is unpredictable, while a LinkedHashSet lets you iterate through the elements in the order in which they were inserted.
TreeSet : The TreeSet is one of two sorted collections (the other being TreeMap). It uses a Red-Black tree structure (but you knew that), and guarantees that the elements will be in ascending order, according to natural order. Optionally, you can construct a TreeSet with a constructor that lets you give the collection your own rules for what the order should be (rather than relying on the ordering defined by the elements' class) by using a Comparable or Comparator. As of Java 6, TreeSet implements NavigableSet.