As my opinion, the best style of glasses for close set eyes will be the smaller one of the frame. The exaggerated one are not so good to match your eyes. The classic style with vintage which without much of decoration will be recommended for you! Light colored frame of eyeglasses will give your neat and smart feeling. Round frame will be better than the square one. It is hard to tell why, but I think it would avoid the disadvantage while enhance advantage of your eyes! Have fun!
You'd better choose the eyeglasses with small shape in the lenses which will be suitable with the close set eyes. The big frame eyeglasses will make the eyes look smaller. You could take the folded eyeglasses into consideration which will be designed usually in small design on the lenses. And they are convenient to carry and wear.
Personally, to get a good look, you can try eyeglasses with small shape in the lenses to match your close set eyes. So far, i noticed most of people with close set eyes look good with small lenses eyeglasses. Of course, you shall consider your face shape and whole images. So, try on some small lenses eyeglasses thus to pick up the most suitable pair.