If you have a Ross anywhere near you I highly recommend them. They have very good quality high thread count sheets for half the price of some of the other stores. I just bought a pack of King size 500 thread count sheets there last week for $27.99. I absolutely love the ones I have gotten there in the past, they wash and wear very well, no pills or anything so far and one of the sets I have had for over a year.
If you don't have a Ross, Target usually has some decent prices on good sheets. Kohl's CAN have good prices if you catch them on sale, otherwise in my neck of the woods Kohl's sheets can get pretty steep. Linens N Things and Bed Bath and Beyond have been the absolute worst in my search as they always have great sheets but INSANE prices.