I maintain a balanced set that focuses on EH first and foremost, and Threat and Avoidance second. This is my main set. It has my best overall pieces in it. It is what I tank most bosses in.
Then I build my alternate sets from old castoff pieces that I have, and enchant/gem them to further enhance the strength of the piece, and replace certain pieces in the above main set to form the new set. These can include...
Threat Set: For fights where threat/damage is more important than survivability. This includes anything I overgear. And certain fights where the boss doesn't hit
too hard, but the dps is buffed out the whazoo and we're trying to beat an enrage timer. I use this on some trash, and some 10-man bosses. For Hodir 10 hard mode (w/ 3 FrR pieces thrown in). But I haven't been comfortable using this set for any 25-man bosses yet. The two biggest threat problem bosses (Vezax and Hodir), also hit really hard, so you can't just go all threat.
Avoidance Set: I haven't built one yet in WotLK. I had one in BC. Put time and gold into building it. Carried it around for over a year. And then I only found it useful for one boss that entire expansion. Bloodboil in Black Temple, because of the avoidable stacking DoT he put on you. IMO, people talk a lot about an Avoidance Set, but I never found a use for it before Bloodboil or since. Well, at least for a MT. For offtanks, I can see times when you'd want to use it if you are offtanking an add that doesn't hit too hard and is not first to be killed. Why not save some healer mana in those situations? Fast hitting/dual wielding bosses? People said use an avoidance set for Prince and Mogrim in BC, bah... I always found a balanced EH set to be just as good against fast hitting bosses. An Avoidance Set for a MT is pretty over-hyped, IMO. You will probably very very rarely use it... maybe never if we don't come across another boss like Bloodboil.
Pure EH Set: Max hp at the expense of everything else. Sarth 3 Drakes is the only boss thus far that I've seen where you don't mind losing threat and avoidance for max hp, because the spike damage was magic (making avoidance not so helpful). And you didn't need any threat stats at all because your target was killed last.
Block Set: For melee trash. Haven't built one yet. But probably will if the new block value on gear changes go through. Kind of a novelty set, IMO. Not necessary, but could be fun to tank easy trash with it and let your healers take a nap.
Soloing Set: High block value pieces plus some pure DPS pieces enchanted/gemmed for strength. Use this set for farming dailies as prot. I don't have a dps offspec... instead I dual spec 2 prot specs, one max survivability, one max threat. As raid MT, there is never a situation where I am needed to dps. If there is only one tank in the fight, that's me.