Ashen Hunter Set
The full set can be purchased with Insight in Hunter's Dream after killing the NPC Gyula in Old Yharnam.
Black Church Set
The full set is found in the Cathedral Ward once you've opened up more of the area by defeating the Blood-starved Beast. From the lantern, take the lower exit into the small graveyard. Take the stairs up here, then turn right and follow the long staircase up. Assuming you've explored enough to open this gate, proceed forward to a small courtyard with two massive patrolling enemies. Instead of entering, turn left to find a passageway down to a gloomy alley packed with lit windows and doors. You'll find the full set along the wall down here.
Found in the first large building in the Upper Cathedral Ward. Inside, head down the stairs and make a U-turn to the back left corner. Follow the narrow hallway over here to a ladder that'll take you to the second floor. There's a hallway full of goodies up here, including the cap.
Bone Ash Set
The full set can be purchased with Insight in Hunter's Dream.
Obtained by joining the Vileblood Covenant.
Charred Hunter Set
This is found in Old Yharnam, during the section where you're fired upon by a machine gun. When you head down the wooden bridge above, take a right. At the back left of this rooftop is a series of ledges you can drop down. This leads to the inside of a large house. You'll find the full set just before leaving through a hole in the wall.
Found in the Upper Cathedral Ward. When you first head up the stairs to enter the large building, it'll be in the first room on a corpse.
Obtained by joining the Hunter of Hunters Covenant. Can also be purchased from the Bath Messenger after obtaining the Crow Hunter Badge.
The complete Doll Set is inside a chest at the Abandoned Old Workshop. To find this secluded area, you must first unlock the Healing Church Workshop. When you cross the bridge to the tower, head around the perimeter instead of going inside. Drop to a lower level to find a series of catwalks and beams inside the tower. It's quite a fall, so carefully look down and left from the entrance to spot a small plank and a door below it. Drop to this plank, then down to the door. Through here is the Workshop, which is laid out identically to Hunter's Dream. The chest containing the set is where the Bath Messenger would be.