The LaTeX command for left right braces is \left\{ \right\} (auto-sized curly braces).
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Write \left\{ \right\} inside math mode, that is between $…$ for inline math or in a \[ … \] or equation block for display math. It is part of core LaTeX math, so no extra package is required.
Write \left\{ \right\}; for delimiters that grow with their content wrap them in \left and \right, or pick a fixed size with \bigl and \bigr, often the better choice.
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\left( \right)\left[ \right]\langle \rangle\lfloor \rfloor\lceil \rceil\| x \|| x |\lvert x \rvert\lVert x \rVert\left| \right|Delimiters in LaTeX: the full table or search all 350+ LaTeX symbols.
Use \left\{ \right\} in math mode; it needs no extra package. For example, $\left\{ \right\}$.
None: \left\{ \right\} is built into LaTeX, so no extra package is required.