In my opinion, quality bedding is a good investment, not only because you get to enjoy the benefits of that quality, but because it lasts a long time.  A good set of sheets or blanket will last for many years.

Sheets

Most people look for a high thread count when buying sheets, but the fiber is what makes the sheet soft.  Cotton-polyester blend sheets resist wrinkles and are longer lasting than cotton, but nothing beats 100% cotton for softness, and the older they get the softer they get.  Its why I use 100% cotton for quilting, especially baby quilts.  Egyptian or Pima are two superior cottons. Linen are soft and can last for decades but I don’t want to iron sheets.  Thread weave also makes a difference, which is why Percale or sateen sheets can feel so soft.  Anything wove in Italy or Europe is likely high quality. Any thread count between 280 and 600 can be a guide to softness as well, but after that can get heavy enough to actually trap body heat.

Pointehaven 610 Thread Count 100-Percent Pima Cotton Deep Pocket Luxury Sheet Set, White Pima is a very soft US cotton.

Luxury 450 Thread Count Solid Sheet Set, 100% Egyptian Cotton Deep Pocket Bed Sheets 450TC, All Sizes.  Egyptian cotton is known to be among the softest in the world.

Blankets

NASA Temperature Regulating Cotton Blanket Oyster Queen – these Outlast blankets are amazing in that they keep your body comfortable regardless of the season due to a technology developed by NASA to adjust to the sleeper’s own microclimate.  That also makes it suitable for many couples where the woman likes a warmer blanket.  I often use mine as a comforter.

Woolrich 72 by 90-Inch Hudson Bay 4 Point Blanket, Natural with Multi Stripes – for now, Hudson Bay blankets are still out of my price range, but I hope some day to own at least one of them.  They have been legendary for generations now for their warmth and quality.