The vast majority of chicken breeds will occasionally go "broody," meaning they will set their eggs and try to hatch them. However, a "setter" usually refers to a breed (or a specific hen) that frequently goes broody. Orpingtons and cochins are setters, for instance.
Buff Orpington Hen
Some high production breeds like Rhode Island Reds and Leghorns seldom if ever go broody and want to set eggs. Those are non-setters.
Which is best just depends on your perspective. If you don't want to hatch eggs at home, you may find broodiness annoying (because your broody hen will stop laying while she's wanting to hatch), so you may prefer non-setters. But even people who don't want to hatch at home may have setters just because they like the breed's personality. Orpingtons are quite popular---and not just because they'll hatch chicks, but because they're friendly, fun birds.
Just be aware and make the breed choices that are right for you!