For example, a Barbarian could have an Immortal King's set that has a nice balance of damage, resistances, survivability, some MF, etc. Remember completing an entire set gives you a lot of nice set bonuses so it's a nice balance of all stats. In this set the Barbarian uses a 2H weapon primarily focusing on abilities that benefit more from a 2H weapon.
But now lets say I'm in the mood to dual wield with Frenzy so I can pump out a lot more damage and kill things a little quicker. This set is primarily end game legendary items that focus on doing as much damage as possible. This set might not be ideal to solo some areas of Inferno as the survivability might not be as great.
Now I feel like paying my cell phone bill for the month so I toss on the set I probably plan to play the most; my MF set. This set is has a lot of MF, but not stacked to the point that I keep dying. But enough to see a noticeable increase in better items dropping while still being strong enough to solo most areas in Inferno. This is also probably the set I use while playing with other geared out friends of mine in MF gear where we all have nice decent MF sets like this so the average stays high and where we can use great teamwork to do the hardest stuff in the game.
Every time I feel like switching gear depending on what I feel like doing, it's going to be annoying doing it one piece at a time which is why I hope Diablo 3 eventually implements an equipment manager that lets you build sets one time and then click one button to switch around entire sets of gear. Hopefully if they implement this they also implement a larger inventory so we can carry around different sets of gear for different situations while still having enough room to carry new items we find without having to go back to town every 5 minutes to store it in the stash.