The DBSetXL by Michael Blunck was a groundbreaking set when it appeared in 2004/2005, showcasing what was possible with the comparably new mechanism of NewGRF. It influenced the development of TTPatch and OpenTTD considerably and works great even today.
The currently available version 0.82 is from 2005 and can be downloaded from Michaels Homepage. The set is not available from the in-game download of OpenTTD!
Since then, Michael has been working on version 0.9, although it remains a mystery as to when (if ever...) this will be released. Bets will be accepted whether I'll see the release of it before reaching retirement age - which would be in about 25 years... All information about version 0.9 are therefore based on previews that Michael posted on the German forums at the DBSetXL-Thread.