Tungsten Ore

The underground and cavern layers are the obvious place, but two other sources are worth remembering. Floating islands often have a vein sitting out in the open, and slimes drop small amounts as a bonus, so an early slime rain can hand you a chunk of a set without any digging at all.

A bar sells for exactly what the ore that made it sells for, so putting your surplus through a furnace before handing it to a merchant buys you nothing but the walk. Smelt only what you intend to craft with and sell the rest raw.

Every world generates either this or silver, never both. The gear is close enough that neither roll is a bad start, and if you specifically want the other one, it has to come out of a different world.