You also can do

Array.from(my_set.values());

if you declare your set this way:

const mySet = new Set<string>();

you will be able to easily use:

let myArray = Array.from( mySet );

or simply

const mySet = new Set<string>();
mySet.add(1);
mySet.add(2);
console.log([...mySet.values()]);

@basarat's answer wasn't sufficient in my case: I couldn't use the spread operator despite having esnext in my lib array.

To correctly enable using the spread operator on sets and other ES2015 iterables, I had to enable the downlevelIteration compiler option.

Here's how to set it via tsconfig.json:

{
  "compilerOptions": {
    "downlevelIteration": true
  }
}

You will find a more detailed explanation of this flag in the TS documentation page about compiler options.

Another solution is using the ! post-fix expression operator to assert that its operand is non-null and non-undefined.

You'll find further information in Non-null assertion operator

You can use the spread operator to convert a Set into an Array:

const mySet = new Set(['h','j','l','l']);
console.log([...mySet!])