What size bed you talkin? I have a California king so you can easily spend a grand on that stuff. Smaller bed like a single would be much cheaper, anywho, I would get 300 or higher thread count, Egyptian cotton, goose down comforter and pillows.
I just Bought some bamboo sheets and Pillow cases - love them Spent about $250 - Also have a duvet cover you spend a 1/3 of your life in bed important to be as comfortable as possible and revitalize your body on nightly basis.
Yes Egyptian cotton for us as well. We have 500 thread count now just cause I got a good deal on them at Bed bath Beyond. We buy complete sets including duvet covers cause my wife likes to change the colors of the room about one a week.