For me there are two sets which I think are the best in the game:
The Dino set. Because it's awesome and hilarious. Unfortunately I've never found a shirt I like to go with the pants and the hat, and the best boots kinda clash with its color scheme.
The Prismatic set. Because nothing says "I made it to the endgame" like tossing away hundreds of Omnigeodes and a dozen or two Prismatic Shards, and it's fun to be opulent. Plus if there's one set that is going to make someone checking out your farm say "woah what's with that", it's your character continually shifting colors. Sure it's a bit of an obvious choice, and it's so "loud" it can at times be a bit obnoxious, but I love it anyway.
That said then, if I have to pick a single clothing item, it's the Prismatic Cowboy hat. Because it is a piece of that set, and looks good (and very ironic) on your horse, not to mention making it significantly harder to lose your horse. And if there's one thing which can say "I really have more wealth than I know what to do with" more than hundreds of Omnigeodes and a dozen or two Prismatic Shards spent on your wardrobe, it's hundreds of Omnigeodes spent on the wardrobe of your horse!