Well, if you complete all the set dungeons you get some fancy wings, and all set dungeons for a class gives pennants. They were made to provide the player a different way of testing their skills, although alot of them are extremely easy to complete. There was an in depth blue post about it, also posted on this site =)
My opinion about the set dungeons is a love hate relationship. I hate the easy ones like invoker, they provide no challenge at all. But the more challenging ones I actually enjoyed fx. wrath of the wastes dungeon got me pulling hair out, and I actually got a feeling of accomplishment when I managed to complete it. I suppose with the amount of guides on set dungeons, most of them end up being a pushover though. But if you don't some of them really make you think about designing a build to solve the task.