Sets are marshalable.

Doc/library/marshal.rst

@@ -38,7 +38,7 @@ supports a substantially wider range of objects than marshal.
 Not all Python object types are supported; in general, only objects whose value
 is independent from a particular invocation of Python can be written and read by
 this module.  The following types are supported: ``None``, integers, long
-integers, floating point numbers, strings, Unicode objects, tuples, lists,
+integers, floating point numbers, strings, Unicode objects, tuples, lists, sets,
 dictionaries, and code objects, where it should be understood that tuples, lists
 and dictionaries are only supported as long as the values contained therein are
 themselves supported; and recursive lists and dictionaries should not be written