Sets are marshalable.

Doc/lib/libmarshal.tex

@@ -43,7 +43,7 @@ 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:
 \code{None}, integers, long integers, floating point numbers,
-strings, Unicode objects, tuples, lists, dictionaries, and code
+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