Depends, if I'm running across the map I like to use my Necro, if I'm exploring caves and using rocket boots I bring my colbalt armour, if I'm fighting things in the open I bring my molten and if I'm fighting a lot of enemies I bring my Scalemail with 5 feril claws for fast attacks
^ This. Its situational really. For sheer defense its the Molten set. For casters/mages its the Cobalt set. For people who think that their Muramasa just doesn't swing fast enough, its Shadowscale and feral claws.
In the jungle, dungeons, and underworld? Molten hands down. It practically makes you invincible if you have the cobalt shield to compliment it.