Set was a dark serpent god worshipped by the people of ancient Acheron, then by the Stygians during the Hyborian Age, and finally by the Egyptians (who altered it into their own version). During the Hyborian Age, Set's cult was at its height, and would have conquered the world if not for the efforts of the cult of Mitra and the barbarian Conan. Set's cult is rumored to still exist in secret in certain regions of Egypt.
Set has been linked with Yig, Hastur (under the name Ha-Set-Ur) and Nyarlathotep. It is entirely probable that all of those entities have used the identity of Set at one time or another.