One of the biggest differences I've noticed between "Thelma and Louise" and "Set It Off" is the sense of reality that the films portray. I see "Thelma and Louise" as a satire - lighthearted, silly, unrealistic - it left me with a sort of satisfied happy feeling at the end.
With "Set It Off," I became much more emotionally involved with the plot and the characters, and the ending left me teary eyed and upset. I think this is because the film is more serious and realistic. The four women have very real problems: they all have tough lives, they're broke, they're surrounded by violence, and feel stuck and fucked by the system. Their relationships with each other are also very real. They're going through hard times together - they love and support each other but we also see how money can tear their friendships apart; how you can replace money, but not friends.
In "Thelma and Louise," the two women are being oppressed by men. While an abusive marriage and rape are very serious and real issues, the ways Thelma and Louise get back at men and patriarchal society are comical: robbing a convenience store while being extremely polite, locking a cop in the trunk of his car and taking his sunglasses, all the while driving through a beautiful desert landscape in their convertible. They aren't committing these crimes to better their lives - they're doing it as payback.