I understand that certain mathematical sets produce fractals. Are there fractals defined by sets with more than 2 variables? Is that possible?
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Yes, they do. Most fractal constructions can be taken into three dimensions. One of the easiest to visualize is to make a 3D version of the Sierpinski carpet.
Take a cube, cut it into $3 \times 3 \times 3$ subcubes, checkerboard color them with the corners black, and remove all the white ones. Now partition the subcubes you kept and keep going. The result is 
Ross Millikan
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Also http://upload.wikimedia.org/wikipedia/commons/b/b4/Sierpinski_pyramid.png. – lhf Sep 23 '14 at 01:15