The way i understand it from http://www.cs.umd.edu/class/sum2003/...mory/set.html:

More slots (higher Set Associative) is a more serial approach while fewer slots is more of a parallel approach.

Example: 4x4 bit matrix (parking lot).
With 64-way Set Associative this would mean in worst case you must search trough the whole matrix for finding a spot. However if the first search is free then you save a lot of time.
With 1-way Set Associative would mean you know where the fixed spot is but it could be very far away. The advantage is that you know how long time it takes to get to each spot and maybe can optimize the priority for each spot.

Interesting is that Intel seems to go for flexible core cache(L1) and stricter system cache(L3) while AMD goes for stricter core cache(L1) and flexible system cache(L3).