Chess Pices and Boards

Any tournament size set WILL overwhelm most desks.

You didn't say what your budget is, but I recommend something like this. 

It's not tournament size, but it's still large enough that you can play on it and play over games with it and do analysis with it.  It's very nice to look at.  Note that the size of the pieces are in proportion to the size of the squares. (Which is important.)

Yes, it's magnetic, but that can be a plus... especially if you need to pick it up or move it around from time to time.  You won't disturb the position you have set up.  The magnets are VERY strong.  You can turn the board upside down and the pieces all will stay in place.

This set comes in various sizes, (9 inches and 10 inches are also available, for example) but I think the 12 inch size will be perfect for most tables and desks.

And yes, I have one just like it and a I absolutely love it.  It's a very attractive and useful set.

This is a standard size set that requires a 20 x 20 inch board.  Do you have that much room on your desk?

If not, I would suggest an analysis set.

What i have on my desk is a set similar to this:
http://www.wholesalechess.com/shop/chess-pieces/wood-chess-pieces/french-chess-pieces-2-5-king

With a small wooden board that measures 12 x 12 inches (squares are 1.25 inches).

There are other options... such as the travel set mentioned above.

Wegiel of Poland also makes an excellent wood folding magnetic set in various sizes.

Avro1000, Instead of the plastic set you linked to I would get the wooden version. Much nicer to handle and look at, and the pieces are quite heavy. HOS calls it the club series:

http://www.houseofstaunton.com/club-wooden-chess-pieces-3-75-king.html

I am pretty sure you can find it in other shops too, perhaps for less. I bought my ebonized pieces from a webshop in Germany.

If you want to get something really nice and special. Check out the BCE. The Tournament and Home editions are a really good deal. The Home edition is slightly smaller, if your desk space is at a premium.

http://bestchessmenever.com/special/

Then there's always Chessbazaar. Some like them, others do not. You could always keep an eye out for their sales. This set was recently going for $99 with free shipping. http://www.chessbazaar.com/the-contemporary-staunton-series-chess-pieces-board-combo-in-sheesham-box-wood-2-6-king.html 

That is a very nice desktop/analysis set, nicely weighted for small pieces.

If you are considering a "travel" set, I would suggest something like this:
http://www.houseofchess.com/travel-chess-set-magnetic-folding-12-inch-with-2-extra-queens-pawns-and-4-extra-knights-golden-rosewood-maple-and-inlaid-algebraic-notations.html

Thanks guys! This is great stuff.