Using the (experimental) tabstackengine package given at Measuring align
\documentclass[preview,border=12pt,varwidth]{standalone}
\usepackage{amsmath}
\usepackage{tabstackengine}
\stackMath
\begin{document}
\renewcommand\stackalignment{l}
\tabbedstackunder{%
\{a_n\}
&=
\{1^2&, 1^2 +2^2&, 1^2 +2^2 +3^2&, 1^2 +2^2 +3^2 +4^2&, \dotsc\}%
}{%
&=
\{1&, 5&, 14&, 30&, \dotsc\}}
\end{document}

To put all 3 alignment choices into a single macro, with the inter-equation gap set to 10pt, and the inter-line gap set to 3pt:
\documentclass[preview,border=12pt,varwidth]{standalone}
\usepackage{amsmath}
\usepackage{tabstackengine}
\stackMath
\begin{document}
\setstackgap{S}{10pt}
\renewcommand\stackalignment{l}
\Shortstack{
\tabbedstackunder[3pt]{%
\{a_n\}
&=
\{1^2&, 1^2 +2^2&, 1^2 +2^2 +3^2&, 1^2 +2^2 +3^2 +4^2&,& \dotsc\}%
}{%
&=\{1&, 5&, 14&, 30&,& \dotsc\}}
\\
\renewcommand\stackalignment{c}
\tabbedstackunder[3pt]{%
\{a_n\}
&=&
\{&1^2&,& 1^2 +2^2&,& 1^2 +2^2 +3^2&,& 1^2 +2^2 +3^2 +4^2&,& \dotsc\}%
}{%
&=&\{&1&,& 5&,& 14&,& 30&,& \dotsc\}}
\\
\renewcommand\stackalignment{r}
\tabbedstackunder[3pt]{%
\{a_n\}
=&
\{&1^2,& 1^2 +2^2,& 1^2 +2^2 +3^2,& 1^2 +2^2 +3^2 +4^2,& \dotsc\}%
}{%
=&\{&1,& 5,& 14,& 30,& \dotsc\}}
}
\end{document}

\underbrace, making the output closer to what th OP intended. On the other hand this looks much better than any of the "valid" solutions – SztupY Nov 19 '13 at 21:47