For years I bought whatever sheets were folded nearest the door at the store, because sheets felt like a thing you shouldn't have to think about. Then I spent one July sleeping on a set so thin and so clingy that I woke up at 3am convinced I was being slowly mummified, and I started paying attention.
Here's what I'd tell you before you buy: don't put heavy, textured sheets, the waffle weaves and thick flannels, in a small bedroom that already has a padded headboard and a quilted comforter, because the whole bed turns into one soft, shapeless lump and the room reads smaller for it. Save that texture for a bed that can afford a bit of bulk, somewhere with a plain frame or bare walls doing the quiet work already. Crisp percale, on the other hand, is what makes a bed look made even when you did it half asleep, and it's the one that suits almost everywhere, a rental with a mattress you don't own, a kid's room that needs washing every other week, a guest room that sits empty eleven months a year and has to look good on no notice. Cotton sateen is the compromise if percale feels too hotel-corner crisp for you, it's got a little more drape and a slight sheen, better in a bedroom that leans soft and lived in rather than tailored. Flannel earns its one season, properly, in a house that actually gets cold, not the kind of cold where you turn the heat up two degrees and complain about it. If you've got nothing yet, start with a plain white or a pale neutral percale set, nothing printed, nothing seasonal, because that's the one you'll use fifty weeks a year and the one that won't fight with whatever quilt or throw you're trying out next. Everything else is a guest appearance. The good set is the main cast.
And measure your mattress depth before you buy anything, because a fitted sheet that's half an inch too shallow will pop off one corner every single night until you either give up and tuck it under like a hospital bed or give in and buy the deep pocket version you should have bought in the first place. The detail that actually makes a good set worth owning, though, is small: it's the second you shake out a fresh, ironed-crisp top sheet over a bed that's otherwise a mess of a week, and for about four seconds the whole room looks like someone who has their life together lives there.