At what level?
What level are you? Remember that as a priest your main stats are (in order of importance)=Intellect, Spirit, Stamina and eventually, +healing gear (gear that makes your heals more efficient), though a PvP shadow priest build would probably choose stamina over intellect and spirit...spirit is almost not important in PvP. In PvE it's life and death, literally.
Item sets are divided into tiers.
Tier 0, the
devout set, which is blue, should be relatively easy to get once you are 58ish.
A lot of priests also like
Mooncloth gear, which is crafted. It can be a bit expensive as moonlcloth has a long cooldown on creation (only every 4 days, I believe).
Tier 1 is
the Vestments of prophecy. It's all purple, and considerably better than the Devout set. All of it drops in the Molten Core, though, so getting it is not easy.
Finally, Tier 2 is
the Vestment of Trascendence. It drops in Molten Core (parts of it) and the rest in Black Wing Lair and Onyxia. Not all of it has been found as of yet.
The set is marginally better than tier 1 (this is the case with all tier 2 sets) and thus many speculate it will be buffed in the future and this is merely a placeholder.
And of course, the PvP sets:
Champion set
Warlord's set (though you can forget about this, unless you are willing to spend at least 50 hours a week in the Battlegrounds. Getting to High Warlord / high Marshall is almost impossible unless you devote your life to it and get considerable help from your guild)