1966 Chess Set by Lanier Graham
Similar to the Bauhaus Chessmen, Lanier's set has pieces shaped in such a way that they represent how they should move: the knight has an L-shape, for instance.
On top of that, the pieces are also designed in such a manner that they fit snugly together in the box, like a puzzle, and thus taking us minimal space. Impressive. (Thx, Pawel!)