Here's a solution that doesn't rely on \left, \middle, and \right (since they produce "fences" that are too large for the equation at hand). Instead, I suggest using \biggl\{, \biggm|, and \biggr\}. Observe that the spacing around the \biggm| symbol is the same as for the small \mid symbol.
For more on when not to use automatically-sized fences see, e.g., Is it ever bad to use \left and \right?.

\documentclass[11pt]{article}
\usepackage{amssymb,amsthm,amsmath}
\newcommand{\abs}[1]{\lvert #1 \rvert}
\newcommand{\N}{\mathbb N}
\newcommand{\K}{\mathbb K}
\begin{document}
\begin{displaymath}
l^2 = \biggl\{ x \doteqdot (x_n)_n \in \K^{\N_0} \biggm|
\sum_{n=1}^{\infty}\abs{x_n}^2 < +\infty \biggr\}
\end{displaymath}
\end{document}
Addendum: From the point of view of LaTeX design philosophy, rather than engage in quasi-visual formatting by using macros such as \biggl\{, \biggm|, and \biggr\} directly in one's code, it's far better to set up macros named, say, \Set and \given, which define the look of a "set" (curly braces...) and of the symbol that indicates conditioning information (a vertical bar). It's straightforward to do so with the tools of the mathtools package (pun intended; see p. 26 of the user guide). Observe that a line break is permitted after the \given symbol. (No screenshot is provided since the resulting is the same as the one shown above; it's just the input syntax that's quite different and, I would claim, much easier to parse.)
\documentclass[11pt]{article}
\usepackage{mathtools} % mathtools loads amsmath in the background
\DeclarePairedDelimiter{\abs}{\lvert}{\rvert} % a modified definition of \abs
\usepackage{amssymb}
\newcommand{\N}{\mathbb N}
\newcommand{\K}{\mathbb K}
%% See p. 26 of the user guide of the mathtools package for the next few macros
\providecommand\given{} % just to make sure it exists
\newcommand\SetSymbol[1][]{\nonscript\:#1\vert\nonscript\:\allowbreak}
\DeclarePairedDelimiterX\Set[1]\lbrace\rbrace{%
\renewcommand\given{\SetSymbol[\delimsize]}#1}
\begin{document}
\[
l^2 = \Set[\bigg]{ x \doteqdot (x_n)_n \in \K^{\N_0} \given
\sum_{n=1}^{\infty}\abs{x_n}^2 < +\infty }
\]
\end{document}
\left\{and\right\}for the first part. I dunno about the\mid:-) Related: http://tex.stackexchange.com/q/12773/32374 – darthbith May 25 '14 at 17:26\middle. – Manuel May 25 '14 at 17:28\left{, but of course that didn't work. You thus solved the first part of my question! – Jeroen May 25 '14 at 17:31\left\{ A \middle| B \right\}. – Manuel May 25 '14 at 17:37