The Demon Set are all the Demon Equipments.

The Demon Armor comes from the Annihilator Quest.
The Demonbone Amulet dropped by Hellgorak, Morguthis, Hellfire Fighter, Juggernaut, The Imperor, Minishabaal and Spectres.
The Demon Helmet dropped by Madareth, Minishabaal and comes from the Demon Quest.
The Demon Legs comes from The Demon Oak Quest.
The Demon Shields dropped by Ghazbaran, Golgordan, Latrivan, Madareth, Minishabaal, Morgaroth, Orshabaal, Zugurosh and are dropped rarely by Demons.
The Demonbone is dropped by Ghazbaran, Annihilon and Morgaroth.
The Demonrage Sword is a rare loot from Demon and Ferumbras.
The Demonwing Axe is a very rare loot from Hellgorak and Ferumbras.

Demon Backpack is sold by Grizzly Adams.
Nightmare Dolls can notably be seen wearing a Demon Set.
Demonbone Amulet
Demonwing Axe
Demon Helmet
Demon Armor
Demon Legs
Demon Backpack
Demon Shield
Demonrage Sword