I quite like the chess sets from Purling London, ordered a Bold Chess set, and it is pretty awesome! The figures are all handmade and handlacquered. They also have an illuminated, "Dark Chess" version, which looks really cool on the photographs they have up on their website. But that's more for people who are after something fancy.
Can definitely recommend them, I really like my Bold Chess Set!
Their stuff looks more like the kind of stuff you buy to show off, not so much to play on.
Depends how much you're willing to spend. If your price range is low, you should probably steal one.
If you want something to carry around you can get a 15" mousepad chessboard with weighted pieces on Amazon for about $20.
I got my chess set on Amazon. It's a Downhead Sheetham set and I bought it for approx £58 and it has served me well. I have around a 60% win ratio on it!
I have to say that there is a lot of great information in these forums with respect to chess sets and vendors. I've recently purchased 1851 chess set from chessbazaar, pieces are beautiful, flawless antiquing, gorgeous morphy knights, the most fantastic rooks I have ever held. Top quality at an affordable price (it's on sale). I just love the looks of the knight!