Learn Italian: Il padre dava sempre un buon esempio. - The father always set a good example.

Because esempio is a masculine singular noun. When placed before a masculine noun starting with a vowel (like the e in esempio) or most consonants, buono drops its final o and becomes buon.

The English translation says "set", but doesn't dava mean "gave"?

Exactly! Dava comes from the verb dare (to give). While in English we say "to set an example", Italians say "to give an example" (dare un esempio).

Why use the imperfect tense dava here rather than the past tense ha dato?

The imperfect tense is used for ongoing, repeated, or habitual actions in the past. The word sempre (always) is a huge clue here, showing that setting a good example was a continuous habit rather than a one-time event.

Can I put sempre before the verb, like we do in English?

Usually, no. In Italian, adverbs of frequency like sempre (always) typically go immediately after the verb they modify, which is why it is dava sempre.