set off (to leave, start a journey, or trip): They set off for Paris.
set out (to leave and start a journey): Columbus set out to find a new route to India and discovered North America.
set forth literary (to start a journey or trip): The astronauts set forth on a voyage into the unknown.
set sail formal (to start a journey in a ship or boat): We’ll set sail for San Francisco as soon as it’s completely light.
hit the road informal (to start a journey): We got up around 6:00 and hit the road.