The set bonus depends on which head-piece you use. The maximum amount of defense given by the set is 26 with the Cobalt Helmet. Cobalt Armor is a Tier above Hellstone Armor, but a tier below Mythril Armor.
The Cobalt armor was originally what is now known as the Jungle Armor before the 1.0.3 patch.
Like the Jungle Armor prior to the 1.0.5 patch, all three pieces were rare drops from Hornets or Man Eaters. It was considered to be an improved version of the Meteor Armor prior to the 1.0.3 patch, giving the same mana regeneration but having a better set bonus with higher defense.
When wearing the complete set, the player emitted particles similar to that of the Shadow Orb and left a motion blur as they moved. They also gained an unlisted attack speed bonus similar to that of the Shadow Armor when wearing the full set.
The 1.0.3 patch removed Cobalt Armor from Terraria and replaced it with Jungle Armor which has identical stats and set bonus, but a different appearance. The reason for its removal was due to not fitting the Underground Jungle theme it was found in.