First of all, I have been eagerly anticipating this feature for months, and am overjoyed to see it finally implemented. Thanks, Brad. This is truly excellent.
Second, naturally I have some suggestions.
1. I second BigEvilDan's idea of having some way to tell, when looking at a comic, what sets it belongs to. Although I don't have any ideas about how I'd implement it. You could just have drop-down lists for each set in addition to the normal drop-down list for all comics.
2. My suggestion for featuring sets on a user's page is to have another drop-down list, below the comic drop-down list(s), that lists each set. Mostly because I can't think of any other method that wouldn't take up a lot of space.
3. I'd like sets to be listed in some order other than the order in which I created them, which is arbitrary and may not make any sense to the reader. Alphabetical should be easy and could help keep related sets together. Another possibility is to order them by the number of the first comic (or first unique comic, if one comic begins multiple sets). I'm sure someone will eventually ask to be able to set the order themselves, but I don't want that feature enough to actually ask you to do all that work.
4. I suspect this will be difficult, but I suppose there's no harm in asking. What if sets could contain both comics and other sets? That way I could have, say, one set called "Comic Contest 463 entries", and one called "Comic Contest 464 entries", and one called "All Comic Contest entries" that includes both of the previous sets, plus any contest entries where I only wrote one comic for the contest and so don't need a separate set for it. I guess this could get weird when some joker makes two sets that include each other. I don't know. Just an idea.
5. What if you could make a set that included other people's comics, or if two or more users could somehow make collaborative sets? This would help organize tag-team series. Again I don't have a clear idea of how I would implement this; it might be too difficult.
6. At least one of my suggestions should be simple: can we have as much space allowed for titling sets as for titling comics? For example, I had to make a set called RM & PL Travel Through Time because of space constraints, even though a comic title like Retroactive Man & Potential Lad Travel Through Time (10/13) fits.
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The what mentioned above is total fiction. Please don't take it seriously!