Question

If I have a set method in which I want to modify some values,
if an user enter wrong values which is the best exception to throw to indicate that failure?

public void setSomething(int d) throws ....
{
    if (d < 10 && d >= 0)
    {
        // ok do something
    }
    else throw new ... // throw some exception
}

Answer 1

I’d go for IllegalArgumentException.

Thrown to indicate that a method has been passed an illegal or
inappropriate argument.

EDIT

Another note:

Instead of

if (conditionIsTrue) {
  doThis();
  doThat();
} else { 
  throw new IllegalArgumentException();
}

write:

if (conditionNotTrue) {
    throw new IllegalArgumentException();
}

doThis();
doThat();

(Though this advice may be controversial ;-)).