I recently started reading about sets above the complex set (the set of quaternions, the set of octonions, etc...) and since I already had a lot of difficulty understanding why complex numbers were needed in the first place, I was wondering why sets even more complicated than the complex one would ever be needed, and how they would simplify calculations. Can someone please shed some light on this (give an example or a generic explanation)? Also, what's the highest set that's really useful?
You are making many assumptions in your question. Among others
"number sets" have to be useful
a way for number systems to be useful is to simplify calculations
there should be a convenient and definitive list to check
But most of the time, mathematical objects are named and manipulated long before most of their properties or relations with others are understood, accepted, put in perspective, routinely used and transformed into standard teaching material.
That's what happened for complex numbers over a course of about four centuries from the italian renaissance algebraists to the 20th century.
Quaternions, octonions, sedenions and other hypercomplex systems do not enjoy the same wide technical and mathematical notoriety complex numbers have but their applicability and interest depend more on our culture and our ingenuity (or lack of it) than you may suppose. Quaternions have had a few false starts in that respects during the second half of the 19th century (lookup Hamilton, P.-G. Tait, O. Heaviside).
Please note that number systems and their natural family (rings and algebras with at least two internal operations) do not form a line starting from the integers and going to complex numbers by successive extensions. They are a diverse forest, with many (very useful trees). Among the most famous:
Real and complex vector spaces (point geometry, equation systems, n-dimensional spaces, ...). This is a part you will certainly study soon. It is often called Linear Algebra.
Boolean algebras (logic calculus, circuit design, complexity theory, ...)
Lie algebras (symmetries of differential equations, and much more)
Hopf algebras (algebraic topology, non commutative geometry, conformal field theory, ...)
and Jordan algebras, C*-algebras, general rings, tropical algebra, ...
Each time with at least one use in physics, chemistry, engineering, computer science, biosciences, in addition to their intrinsic interest and their relations with other domains of mathematics.
I must stop there because doing justice to all these algebraic structures would be equivalent to present most of today's mathematics in full detail.
Quaternions are used in (amongst other areas) 3D computer graphics, because one can represent 3D rotation in a convenient way using them. I'll give a link (which states even more applications), as I'm not too read-up on the details.
In fact, the idea of representing 3D-rotations by numbers, just like one can represent 2D-rotation by complex numbers, was one of the main reasons quaternions were even introduced and considered interesting in the first place.