(* Provides CartesianProduct *)
Needs["Combinatorica`"]

S = {1,2,3,4,5}
T ={2,4,6,8,10}
U = {1,3,5,7,9}

Union[S,T]

Intersection[T,S]

Complement[Range[1,100],S]

Complement[Range[2,100,2],T]

CartesianProduct[S,T]

CartesianProduct[S,CartesianProduct[T,U]]

(* aka PowerSet *)
Subsets[S]

(* Lists are not sets... but can be used as them if you're careful!  *)
DeleteDuplicates[{1,2,3,4,2,3,4,5,6,7,5,6,7,8,9}]

(* Cartesian Power ... this is S^3 *)
Tuples[S,3]