Internet sites I have tried with great success.
RockbottomGolf or Hurricane Golf... I have used both and highly recommend either. If you have some time on your hands, also try Deal a Day golf; they have daily deals on various golf equipment.
Try to buy a brand name set that matches your ability. For instance, stay away from forged irons or blades. If you're starting out, get a set that is easy to hit (eg. Adams Golf). If you have a small budget, go to Play It Again Sports and check out what they have. If you find you don't like the game, you can always sell it back to them. And if it's a brand name, it'll sell faster and you usually will get more for it than a no-name.