Kuobin,
What altitude to set indeed !
There is quite a variety of opinions but here is what I would do based upon US and Canadian rules.
At a controlled airport I would set the missed approach altitude associated with the IFR approach in use for the runway I was landing on. Then in the event that I am directed by the controller to "follow the published missed approach" (highly unlikely by the way) the altitude alert is already set. If the controller tells me to fly to another altitude I reset the altitude alert. Note that if I was doing a visual to a runway with no IFR approach I would set circuit altitude.
At an uncontrolled airport I would set the circuit altitude, normally 1000 feet above airport elevation unless otherwise documented.
The only requirement in Canada and the US is;
1. At a controlled airport, follow ATC direction, and
2. At an uncontrolled airport, remain clear of cloud and land as soon as possible.
Since the US and Canadian authorities give no other guidance than that we are talking about technique, not the 'law'.
best regards,
Bruce Waddington