"Set up" means to use a boosting move like Swords Dance in order to attempt to sweep the opponent's team (knock out as many Pokemon as you can with one of yours).
Absol definitely has threats, but they're more like checks rather than counters. A counter, by definition, is a Pokemon that can switch in safely AND threaten to knock out your Pokemon. A check is a threat, but not necessarily one that can safely switch in. Life Orb Technician Breloom would be a great check to Absol, for example, as Mach Punch would take you out. A faster Pokemon that resists Sucker Punch would also work, such as Scarfed Terrakion. In fact, Scarf Terrakion can some in safely on any move Absol might run except Play Rough/Psycho Cut, so you'd have to predict that, but also is not threatened by Sucker Punch at all, especially with Justified. If Absol isn't running Fire Blast for some bizarre reason, Ferrothorn walls it too.
The fact that Absol also has Magic Bounce makes it a lot trickier to counter by conventional means like burning or paralyzing it. In terms of Mega Gengar, you have to be EXTREMELY careful, because if you choose Focus Blast and Absol goes for Sucker Punch, you're dead. Substitute Mega Gengar is an option, as you resist Rough Play (poison type) and will be able to predict Sucker Punch and substitute, making you safe to KO Absol from there.
