I avoided matched bedroom sets for years, mostly because every one I'd seen in a showroom looked like it had been designed by the same committee that does hotel lobbies. What changed my mind was a dresser I built myself and then needed a nightstand to go with, and realized matching the wood by eye from memory is a fool's errand.
If you've got nothing yet, start with the bed and one nightstand, not the full lineup. That's the part people notice and the part that gets used every single day, pulling open a drawer half asleep, setting a glass of water down at midnight. Skip the matching bench and the mirror frame for now, those are easy to add later once you know what you actually want to live with, and buying them all at once is how you end up with six pieces from the same collection that you're all slightly tired of within a year. A real dovetail joint on a nightstand drawer tells you more about the whole set than any finish swatch will, so if you can see one piece in person before committing, pull a drawer out and look.
Where this stuff actually lives, in a normal room, is against plain backgrounds: a rental with white walls, a guest room with beige carpet that was there before you moved in, a kid's room with a rug doing all the personality work. It doesn't need a statement wall or a theme, it needs a bed frame and a dresser that don't visually argue with each other, and that's really all a set is for. I've seen a perfectly plain oak set look completely different in a bright room with linen bedding versus a north facing room with heavier wool blankets, same furniture, totally different mood, which tells you the set is doing less work than the fabric around it. Pair it with something you already own rather than buying everything from one catalog page, a vintage lamp, a rug that's been in the family, that's what keeps it from reading like a furniture store display.
On color, the ones that are easiest to live with over time are the quiet mid tones, a warm oak or a soft walnut, nothing so dark it swallows a small room and nothing so pale it shows every scuff from a laundry basket. White sets look clean on day one and tired by year three, in my experience, once the inevitable scratches show up against the paint.
Before anything else, pull a drawer all the way out and look at how the sides are joined.