It wasn't until early on in college that I felt I needed a set. Still not ready to spend a bunch of money, I settled on the Boye Needlemaster set, available at most big box craft stores for about $70. It was metal and had a wide range of sizes, which was important to me. I ended up finding a new set on Ebay for less than $30, making it cheaper than waiting for a coupon at JoAnn / Michaels.
[Yes, I am missing my size 6 needles. I truly have no idea where they went.]
I loved having this set. It changed my knitting. However, after graduating from college my love of knitting really took off. I became interested in nicer yarns and needles...not to mention the willingness to pay for patterns! I tried Addi Turbos and ChiaoGoos and set out to amass Addi Turbos in every size with a 40" cable. I liked knitting everything on circulars, so I figured I could get a longer cable length and knit smaller diameter items using magic loop. I had quite a collection going before I found DyakCraft Darn Pretty Needles. After receiving my sets, they were pretty much the only needles I used (except for knitting socks).
That being said, I couldn't get rid of my Boye set. Over time I realized how much the cables sucked, but I genuinely enjoyed knitting with the metal tips. I ended up (sort of) giving it to Courtney who was just beginning to get into knitting. Then I discovered that the red ChiaoGoo cables could be used with the Boye tips! All you need a set of small connectors in order to connect the ChiaoGoo cables to the Boye tips since they are both female.
Initially I ordered one connector set and one cable to make sure it really worked. News flash, it did! Now I had a wider selection of needles since the Boye set ranges from size 2 - 15 whereas the DyakCraft set only goes from 4 - 10.5. Plus, they are metal which makes knitting with some yarns easier.
The screws aren't exactly the same, so a bit of looseness is possible, especially in the smaller sizes. I've found that if you glue the connectors into the needles (super glue works well), it fixes any looseness and the cables don't unscrew. Of course that means that you will need a set of connectors for each size of needle and you will no longer be able to use the Boye cables. Even so, it's not an expensive hack. A set of small connectors retails for right around $2 and each cable is about $6. Even better, it makes an unused set usable again.
My favorite place to order the connectors and cables is Mimi's Needle Basket. The prices and shipping are great, plus I was able to meet the owner at Stitches West when she participated in the stitch marker swap.