Buying pillows and sheets

I miss Fortunoff's!

We are desperately in need of some sheets. What do you look for in sheets? I see Queen sheet sets that are $150 and I see others that are $70. I see 100% cotton or Egyptian cotton or Cotton Sateen, or 1 ply or 2-ply What do these things all mean?? The only thing I think I know is that the higher the thread count the better.

Now on to pillows. Suddenly I hate my pillows. I looked at some in Bloomingdales's but I REFUSE to pay $100-$250 for a pillow. We aren't cheap so I'm not looking for cheap and no frills but honestly I cannot justify $100's for a pillow. Where can i get some good ones?