For some reason, I can not have large labels on the edge. I get an overflow. Any idea? If I replace $\{a_1, a_2\}$ with one character it works.
\begin{figure}[b]
\centering
\begin{tikzpicture}
\SetUpEdge[lw = 1pt,
color = black,
labelcolor = white]
\SetVertexNoLabel
\GraphInit[vstyle=Normal]
\SetGraphUnit{3}
\tikzset{VertexStyle/.append style={fill}}
\Vertex{s}
\NO(s){a} \EA(a){b} \SO(b){c}
\Edge[label=$\{a_1, a_2\}$](s)(a)
\Edge[label=$b$](a)(b)
\Edge[label=$c$](b)(c)
\end{tikzpicture}
\caption{Graph $g_1$ \label{fig:graph_1}}
\end{figure}
The error that I get is:
! TeX capacity exceeded, sorry [input stack size=5000].
\curr@fontshape ->\f@encoding
/\f@family /\f@series /\f@shape
l.38 \Edge[label=$\{a_1, a_2\}$](s)(a)
If you really absolutely need more capacity,
you can ask a wizard to enlarge me.

{$\{a_1, a_2\}$}will work. – Claudio Fiandrino May 20 '12 at 9:18