That depends of theme used in the target os, so it's impossible to get a set of icons to look fine everywhere.
Only if your app is fully drawn by custom components or is not affected by themes.
For example, lubuntu by default uses a black and white (and gray too) theme that comes with black icons for the default messages, and lazarus comes with colorfull icons that doesn't fit. Also themes can be changed by the user, if youre using an orange icon for a menu item and the theme has a orange menu item your icon become invisible to end user.
Windows comes with their default icons and no icons in general for dialog messages, but lazarus add icons in ok, cancel in dialogs. I don't remember but they can be disabled...
Is not the same Windows 7 to Windows 8 icons and the theme is completely different. Less colors and a minimalist thing (flat) in 8 vs 3d buttons in 7.
In order to response your question I'm using silk icons. These that come with Lazarus. But the other icons listed here looks fine too.