A $(v,k,λ)$ difference set in a group $G$ of order $v$ is a subset $\{d_1, d_2, \ldots,d_k\}$ of $G$ such that $D=\sum d_i$ in the group ring $\mathbb{Z}[G]$ satisfies $$D D^{-1} = n + λG,$$ where $n=k-λ$. If $D=\sum s_i d_i$, where the $s_i \in \{ \pm 1\}$, satisfies the same equation, we will call it a signed difference set. This generalizes both difference sets (all $s_i=1$) and circulant weighing matrices ($G$ cyclic and $λ=0$). We will show that there are other cases of interest, and give some results on their existence.