The setting affects both look and security:
Prong (3 or 4 prong): Shows the most diamond, lets in the most light. Classic choice. Four prongs are more secure than three.
Bezel: A metal rim surrounds the diamond completely. Very secure, modern look, but shows slightly less of the stone.
Martini: Three prongs with a V-shaped basket that sits close to the ear. Sleek and minimal.
Halo: Small diamonds surround the center stone, making it look larger. More sparkle, more presence.