My tractor quit on me during my grass cutting. I have not been able to get it started. I've
Changed the air filters, a new spark plug, a new solenoid, a new fuel filter, a new battery. When I put it on choke and try to start it, the engine turns but won't start. After that,all I hear is the clicking sound. I've removed the new spark plug, and found it to be a little wet.
Do the new spark plugs already come set? The fuse is fine, but my headlights won't turn on. I'm open to any ideas as to what to check next.

The clicking indicates your have run your battery down or the sloenoid is going bad. Plugs frequently are factory gapped but should always be re-gapped before installation. They can get bumped around in shipping. Recharge the battery for several hours. Remove the plug but then reinstall the wire. Allow the threads of the plug to ground againist the engine block. Turn it over and see if you get a good blue spark. Back to you

Try replacing the stator... because the headlights run off the power generated by the alternator... even if the stator doesn't appear to be damaged check for a damaged section in the solder run along the inside of the stator.