Difference between Set and Select

Set is a ANSI standard for variable assignment.
Select is a Non-ANSI standard when assigning variables.

We can assign only one variable at a time
We can assign multiple variable at a time

When assigning from a query that returns more than one value, SET will fail with an error.
When assigning from a query that returns more than one value, SELECT will assign the last value returned by the query and hide the fact that the query returned more than one row.