A value set is a snapshot of the expressions of all the variables in the model. If there are three variables a, b, and c with expressions 1, 2, and 3, then the currently active value set has values 1, 2, 3. If you create a new value set (which by default becomes the active value set), and subsequently change variable b's expression to 20, the new value set has values 1, 20, and 3 respectively. The previously active value set still has values 1, 2, 3.
Further discussion of value set creation is presented here.
Discussion of editing and deleting value sets is presented here.