The question I get asked most is whether a matching set actually feels different to wear, or if it's just two things that happen to be the same colour. It does feel different, but only if the set fits properly, which is rarer than it should be.
Sizing is where most sets go wrong before you've even left the changing room, because the bra and the knicker are usually fitted to two different bodies that live in the same catalogue photo. Go by your actual bra size, band first, not the size you wish was true, and expect to need the next hook up by the end of the evening once the elastic's had a chance to settle. The knicker side is more forgiving but watch the leg elastic, if it leaves a deep red line after an hour sat at a desk, it was too small when you bought it, not just today. A high leg cut will ride on anyone with a bit of a tummy, and a low rise brief will slide down under jeans by lunchtime, so match the cut to what you're actually going to wear over the top, not what looked right on a hanger.
The difference between a set that lasts and one that's bobbling by the third wash usually comes down to things you can't see from across the shop. Check the underwire doesn't poke at the side seam when you move your arm, check the lace is sewn to the lining rather than just overlaid on it, because overlaid lace curls at the edge after one hand wash. The hook and eye should have at least two rows, three if you ever plan on losing or gaining a bit of weight, and the straps want to be adjustable with a proper slider, not stitched flat, because flat straps never sit right on two different tops. Cheap sets give themselves away at the seams first, a pucker where the cup joins the band is the tell.
If you've got nothing decent in the drawer, start with a plain set in a skin tone or black, nothing with a theme, nothing that only works under one specific dress. Something with a light moulded cup under a t shirt, the kind you'd wear under a work shirt on a Tuesday with absolutely nobody meant to see it, and a brief rather than a thong if you're not used to the feeling, because learning to live with dental floss and learning whether a set fits are two different lessons and it's easier not to do both at once. Build out from there once you know what actually sits well on you.
I'd rather own three sets I trust than ten I'm not sure about, and that's the whole argument really.