We give new upper and lower bounds for the {\em dynamic} set cover problem. First, we give a $(1+ε) f$-approximation for fully dynamic set cover in $O(f^2\log n /ε^5)$ (amortized) update time, for any $ε> 0$, where $f$ is the maximum number of sets that an element belongs to. In the decremental setting, the update time can be improved to $O(f^2/ε^5)$, while still obtaining an $(1+ε) f$-approximation. These are the first algorithms that obtain an approximation factor linear in $f$ for dynamic set cover, thereby almost matching the best bounds known in the offline setting and improving upon the previous best approximation of $O(f^2)$ in the dynamic setting. To complement our upper bounds, we also show that a linear dependence of the update time on $f$ is necessary unless we can tolerate much worse approximation factors. Using the recent distributed PCP-framework, we show that any dynamic set cover algorithm that has an amortized update time of $O(f^{1-ε})$ must have an approximation factor that is $Ω(n^δ)$ for some constant $δ>0$ under the Strong Exponential Time Hypothesis.