Is there anything similar to GSEA for locus-based (instead of of gene-based) data?
I tinkered with a program GSEA-SNP quite a few years back, which claims that it does a similar ranking procedure with SNPs. It carries out its procedure by first linking SNPs with genes, then running an algorithm similar to GSEA. There's a bit more detail in the paper.

Unfortunately this is a space I've got a bit further away from in recent years, so I don't know if anyone has carried out the legwork to generalise the algorithm for sets of any type where each item within each set fits a continuous (but not necessarily normal) distribution.