Why should I set a security question?
The security question provides extra security. In addition to your username and access to your email inbox, a further criterion (the security question) must be correctly answered before a new password can be set. This adds an extra layer of protection, as attacks on your email inbox cannot be completely ruled out.
What question and answer should I choose?
Choose a question that you can easily answer and whose answer is known only to you. Avoid deliberately false answers, as they are often easier to forget and may not provide additional security benefits.