How to write a nice code that removes all elements from given set A, that occur also in set B? I would like to use DeleteCases[] for this purpose, but have no good idea how to make it efficient.

SetDifference[A_,B_]:=DeleteCases[A, ??? ]

Or to find out if theres a ready to use function already, as in Lists as Sets there is nothing like that mentioned.

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    $\begingroup$ There is Complement but it could be not efficient enough if you know that, for example, A has no duplicates. $\endgroup$ – Kuba Oct 18 '13 at 10:48

There is an adequate function: Complement, e.g.:

Complement[{a, b, c, d, e}, {a, c, d}]
{b, e}

It works also with more sets, lists or with any heads, e.g.:

Complement[{a, b, c, d, e}, {a}, {c, e}, {d}]
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