The first version:
for (var x in set) {
    ...
}
declares a local variable called x. The second version:
for (x in set) {
    ...
}
does not.
If x is already a local variable (i.e. you have a var x; or var x = ...; somewhere earlier in your current scope (i.e. the current function)) then they will be equivalent. If x is not already a local variable, then using the second will implicitly declare a global variable x. Consider this code:
var obj1 = {hey: 10, there: 15};
var obj2 = {heli: 99, copter: 10};
function loop1() {
    for (x in obj1) alert(x);
}
function loop2() {
    for (x in obj2) {
        loop1(); 
        alert(x);
    }
}
loop2();
you might expect this to alert hey, there, heli, hey, there, copter, but since the x is one and the same it will alert hey, there, there, hey, there, there. You don't want that! Use var x in your for loops.
To top it all off: if the for loop is in the global scope (i.e. not in a function), then the local scope (the scope x is declared in if you use var x) is the same as the global scope (the scope x is implicitly declared in if you use x without a var), so the two versions will be identical.