Which event should we subscribe to if we want code to be triggered when a new user registers? I noticed that account.set is the event invoked for a user account.
I want to create an event subscriber which adds a callback invoked when a new user registers on the site. I am not sure whether account.set is the correct event.
Are there other better events for this?
AccountEvents::SET_USER isn't the event for user registration. Per the docs:


  This event allows modules to perform an action whenever the current user is
  set. The event listener receives an \Drupal\Core\Session\AccountSetEvent
  instance.


The event is fired when Drupal initializes the user object for the current request, not when new users are created. 

For responding to new user creation, you can still use hook_user_insert().