Is there a Set literal in JavaScript?

Nope, there's no single syntax for declaring a Set. When in doubt, consult the spec.

Well, there's no literal syntax for Set() but you can use an array instead. They are both very similar and can easily be switched between from using the functions:

Array.from(mySet) // Converts mySet into an array
new Set(myArray) // Creates a set from myArray

As others have pointed out, there is no Set (or Map) literal syntax yet. There have been a few ideas floating around, in this ES Discuss Thread and in the following twitter discussion.

A few proposed syntax examples:

const set = {<1, "two", false>}; // by Brendan Eich
const set = {. 1, "two", false .}; // by Axel Rauschmayer

There are, as far as I can see, no proposals to implement any of them yet, though.