I've collected full sets of several of the unique sets. The best way I've found to do it is find a popular helm grind and a group to do it over and over, or do the daily pledge over and over (much easier to find groups ;-)
I can't be 100% sure but it really seems like the final boss has a higher chance to drop set pieces if he doesn't drop the boss helm, so you may as well do the full dungeon each time. There are some bosses I've never gotten set drops from so I expect it's only certain mini bosses that might drop in each dungeon.
Not bad exp and profitable too. Be prepared for a very low drop rate and random traits though!
Mad mortine is one of the ones I've never gotten a drop from. The gargoyle and the ghostly guy do drop, as well as the final boss. All others don't in that dungeon (in my experience anyway).