I'll use just about any set that I reasonably have access to (which means dungeon/trial/arena sets are immediately off the list) if it fits the character concept I'm going for. For context, most of my gameplay involves overland questing, beating down world bosses solo, the occasional dungeon, and the very occasional trial or PvP. These are sets I have used of those you list:

Embershield

I currently use this on my ashlander, who is a melee-magicka character. It made a bit more sense when he got a boost to fire damage from his racials, but I still use it because it is just a really fun set. The visual effect is awesome, and combined with the grothdar he uses, it's like... fire everywhere!

Jolting arms

I experimented with this set on my artificer once (who is also my primary tank). On paper, the idea of the set really fits his character. In practice, I just wasn't feeling it. The visual effect was kind of lackluster relative to what I was hoping it would be. I got enough pieces of the set to try it out for a while, then scrapped it.

Shalk Exoskeleton

I have used this set on a couple of characters. Once, on my ashlander before I switched him to Embershield. I currently use it on my tree hugging warden (who is my primary healer). I like to keep my magicka characters more durable, so this was the heavy armor set I picked for her to wear. It means she can use her ultimate a bit more often, which is nice. It is pretty boring though, so I am looking to swap it out with something else at some point.

Undaunted Bastion

This is another set I experimented with for my artificer. When I was first learning to tank, I ran Whitestrake's Retribution all the time, and this looked like a better version of that. Except in practice, it wasn't. The proc was very unreliable by comparison, so I scrapped it. In fact, I think that this set might be broken.

Vampire's Cloak

I used this set on my ashlander (who is also a vampire) for a while, largely for thematic reasons. It gave him a bit more survivability that balanced out some of his limitations as a melee-magicka character, but I ultimately found sets I like better for him than this one. Still decent, though, all things considered.

Shadow walker

I used this for a time on my thief character, especially when I was doing a bit more PvP with the guilds I'm in. She's a magical cat and nightblade, so she could just cloak away, sit somewhere, and heal herself with it. It's a fun set, and I plan to use it on another character at some point in the future. I ultimately found other sets I like better for her.

Storm master
While my artificer is mainly a tank, I put him in damage dealing gear when doing overland stuff most of the time. One of those sets is strength of the automaton, since dwemer fits with the artificer theme. I wanted to grab a second one. Jolting arms (see above) was one I experimented with and a disappointment. This one? Perfect for him. I still use it, and will likely never replace it. And I despise grinding dungeons. I ground dungeons to get this set for him. It's fun and worth trying out.

Stygian

I currently use this set on my thief. It fits her much better thematically speaking than shadow walker, as she is all about ambushing/assassinations. It is a stamina set, which seems like an odd set for a magicka character until you think about how it gives you a bit more stamina pool for staying in sneak for long periods. As she cloaks frequently in combat, she gets quite a lot of mileage about that 20% extra damage to spells when sneaking/invisible. I use this character in PvP occasionally, but I'm not going to pretend that I'm good at it or get as much mileage out of this as I could.

Overwhelming surge

There are a couple characters of mine I tried to use this set on, because it is thematically appropriate. The problem I found with this set is that the proc rate is too low for being as restrictive as it is: only a 15% chance and only when activating class abilities. It was just not reliable enough, and it needs some adjusting. I trashed it due to its lack of reliability, even when trying it out on my warden who can spam netch for zero cost.

There are many other sets on your list that I have wanted to try or have planned for use on future characters, but I won't bother with that right now. The long and short of it is you can use anything and everything if you are creative in your character designs (which is kind of my bread and butter, personally).