I used amsmath's split environment and a phantom for the missing U in the second equation:
\documentclass[varwidth,fleqn]{standalone}
\usepackage{amsmath}
\begin{document}
\noindent
\begin{equation}
\begin{split}
S_0 = & 0 \\
S_{i+1} = & \phantom{U} \left\{ \ldots \right\}\\
& U \left\{ \ldots \right\}
\end{split}
\end{equation}
\end{document}

You can leave out the subscripts if you wish.
I just noticed that this is a possible duplicate of Multi horizontal alignment in mathmode
Updated - after applying the recommendations from the comments, here's my second take:
\documentclass[varwidth,fleqn]{standalone}
\usepackage{amsmath}
\begin{document}
\noindent
\begin{equation}
\begin{split}
S_{0\phantom{+1}} & = 0 \\
S_{i+1} & = \phantom{\cup} \left\{ \ldots \right\}\\
& \mathrel{\phantom{=}} \cup \left\{ \ldots \right\}
\end{split}
\end{equation}
\end{document}

{}. I also removed the thanks- it seems strange, but it helps to keep the forum in a 'Question and Answer' format :) Have you tried the various environments from theamsmathpackage? It seems your problem could be solved using one ofalign,aligned, etc – cmhughes Apr 02 '12 at 20:05