Wardens have a nice heal called Polar Wind that scales off of max HP so many of them build for it.
Use a race with a health bonus. Wear 2 or 3 (or more) heavy armor pieces. Put 10 (or more,) attribute points into health. Use a food with a health bonus. Passively give yourself minor toughness... Voila, you're very close to 40k without even trying that hard.
But if you do just want to know health sets because you're thinking about upping your own health... Plague Doctor gives the most health. Clever Alchemist gives health and also a lot of conditional damage. I'm not really sure what else to be honest. Warrior Poet is good HP for non-wardens.
Clever Alchemist back bar is a good choice if you want to stack more health. Death Dealer's Fete is also another option for free health. Mostly wearing heavy armor and one piece of Trainee. You can easily reach fifty thousand mark with this build excluding Emperor bonus and Ayleid Well bonus.
For me it's Clever Alchemist. 64 points into health attribute. 3 Max health glyphs on head, chest, and legs, Misrule food, and finally the red CP slottable that gives a little more max health. Usually I either have 5/1/1 medium. It easily puts me around 42k when minor toughness is up - which is always.