Sett is currently a super powerful character, and almost unstoppable, especially if built correctly. Starting game, you have to be careful with ranged characters, since you aren't powerful enough to fully tank the shots to get close enough to kill them. Play safe until you have either enough life steal/tank health to get in the enemies faces and cause some havoc. Remember to use his "W" to your advantage and to not waste it. Save it until it is close to full and you can use it to keep yourself alive and finish the enemy off. (You can use it to poke damage with, but I wouldn't recommend this. Its better to keep it to finish enemies off, or to keep yourself alive when running away.)

I'm seeing a lot of Sett players use him as a jungler, or building him as a full on Tank. Though this can be done and is certainly useful... Sett is a hybrid of both power and tankiness. Be the dominate "boss" leading your team into battle, and get the upper hand in the fight. (Though be careful of getting caught in between the entire enemy team. Sett is strong, but no entirely un-beatable.)

THREATS
Honestly, Sett doesn't have many threats. His only ones are ranged characters off the start. They can be tricky to play around, especially if your an aggressive player, but after your built up a bit, you should be able to tank their shots just enough to get in there and dominate them.
SYNERGIES
Sett plays well with anyone who can root/slow the enemy down. Having your teammate root an enemy, or even slowing them down, can allow you to rush into them and deal a great amount of damage, or yet even kill them. Plus if your close enough, you can just "E" them to bring them into you, allowing yourself and/or your teammate the kill. Rangedcharacters can also be great with Sett because of his lack of range.