The SET options in NickServ can be used to do a few diffrent things.
An example is that you can add a KILL protection to your account so the user trying to break into your account will be KILLED from the server by services for protection.
Syntax: SET option parameters
SET AUTOOP Sets whether services should set channel status modes on you automatically.
SET DISPLAY Set the display of your group in Services
SET EMAIL Associate an E-mail address with your nickname
SET GREET Associate a greet message with your nickname
SET HIDE Hide certain pieces of nickname information
SET KEEPMODES Enable or disable keep modes
SET KILL Turn protection on or off
SET LANGUAGE Set the language Services will use when messaging you
SET MESSAGE Change the communication method of Services
SET PASSWORD Set your nickname password
SET PRIVATE Prevent the nickname from appearing in the LIST command
SET SECURE Turn nickname security on or off
SET URL Associate a URL with your account