You can use a constant and create it with a single expression.

    private static final Set<Class<? extends Annotation>> INCOMPATIBLE_ANNOTATIONS = Collections.unmodifiableSet(new HashSet<Class<? extends Annotation>>(
      Arrays.asList(BeforeClass.class, AfterClass.class, Before.class, After.class)));

It would be a little bit nicer, if you use static imports.

    private static final Set<Class<? extends Annotation>> INCOMPATIBLE_ANNOTATIONS = unmodifiableSet(new HashSet<Class<? extends Annotation>>(
      asList(BeforeClass.class, AfterClass.class, Before.class, After.class)));