Let $X$ be the universe of elements, $F$ a collection of subsets $S \subseteq X$, each with an associated cost. The goal is to find a subcollection $C \subseteq F$ of minimum total cost which covers $X$.
GreedySetCover(X,F)
1 C ← ∅
2 U ← X
3 while U ≠ ∅
4 Find set S ∈ F \ C that minimizes α = cost(S) / |S ∩ U|
5 C ← C ∪ {S}
6 U ← U \ S
7 end while
8 return C
Let $N = |U|$ and $M = |F|$. Then, in the worst-case, all subsets $S \subseteq X$ have to be searched. In the first iteration we search $M$ sets, in the second iteration we search $M - 1$ sets and so on. The cost of computing $|S \cap U|$ is $O(N)$.
$$T(n) = N (M + (M - 1) + (M - 2) + \cdots + 2 + 1) = N M(M+1)/2 = O(N M^2)$$
I think this is correct. I am not sure how to approach the average case time complexity however.