Set
A group of reps performed back to back before you rest.
What it means in a class
A set is a block of consecutive reps. '5 sets of 5' means five groups of five reps with rest in between — usually written 5x5.
In conditioning workouts you'll hear coaches talk about 'breaking into sets': doing 15 wall balls as 8 and 7 rather than pushing to failure at rep 12.
On the whiteboard
Back squat: 5 sets of 5 reps, building in weight.