I always see individual volumes at the local garbage dump's "take a book, leave a book" trailer when I visit my parents but I've never seen a full set!
I have great memories of reading these books and being absolutely terrified as a child. This and Enchanted World were the two best Time Life sets I think. Enchanted World being #1 of course.
Was this the series that had the stories about the people grabbed by invisible hands and dragged into other dimensions in plain sight? Those scared the crap out of me as a child.
I'm not sure if I know that part of it, but it sounds like something from the series. I remember the UFO abductions and the Secret Societies volumes the best. The latter one was my first introduction to that perennial favorite, Aliester Crowley.
As much as I loved this stuff when I was a kid, I never got to read these books. I had to settle for one big Mysteries of the Unexplained volume from Reader's Digest.