I swear by Frette, Italian luxury bed linen. They have gorgeous and classy design and luxury feel to them. I especially adore my duvet as it feels as if you are tucket under the softest cloud. The only con is it's a very expensive brand; the pro: they ocasionally put items on sale.
I walk by a Frette store all of the time and have always wanted to go in and pet the bedding (weird, I know). Definitely not in my price range right now.
I'm in the market for new sheets and will be hitting up TJ Maxx. They always seem to have great house hold items for next to nothing cost-wise.