We are total sheet snobs, to the point that when we stay at a hotel or at my inlaws we cringe at the sheets!
I don't agree that you can't buy good sheets unless you buy the sheets separately. We have gotten some fantastic sheet sets, including over 600 thread count egyptian cotton, that have come packaged together with both sheets and the pillow cases.
I highly agree with everyone who has recommended Tuesday morning. We have gotten most of our sheets there. In fact, that it what turned us into sheet snobs- one package of over 400 thread count Egyptian cotton sheets and we were done for.

We had a couple of over 600 thread count and those really did us in. I think most of the ones we have gotten from there are Linea Casa, but we have had other brands too.
Trust your fingers. Always touch the sheets before you buy them, even if you have to poke a little hole in the package to get your finger in to touch them. Just because they claim to be a certain thread count, or claim to be Egyptian cotton doesn't mean they will be soft or feel right. Don't buy anything under 300 or 350 thread count, and preferably something over that.
For the PP= DH gets hot easy. I would say nothing "sateen" or polyester. We prefer Egyptian cotton over anything else.
Don't buy the sheets at the kiosks you can find in the mall, arts festivals etc, claiming they are Egyptian cotton and a high thread count. They feel like sandpaper.
When my Mom wanted new sheets for her birthday a few months ago and Tuesday Morning didn't have any right then, I actually had some great luck at Bed Bath and Beyond. I found some Egyptian cotton ones there that were around 500 or 550 thread count and my Mom loves them. I'm not positive, but they may have been the Wamsuta ones they have online now. I know I was skeptical when looking at them in the store, but once felt them, I knew they would be good. Again, I would go to the store and touch them before buying them.
You can definitely find something for under $200. We've never spent over that amount. Usually the sets we buy are somewhere between $100 and $200. Those Wamsuta ones are only about $80, if they are the ones I bought for my mom, but again I'm not positive on that. I know the ones I got her came in different colors and had the same or similar striping on them.
I completely agree with the PP who said don't buy Calvin Klein, Ralph Lauren, or Dkny. I don't find them soft. DH showed up with some Calvin Klein once because he liked the color of the sheet, and I think we used them once before they got shipped off to our guest room, or maybe even sent out to the garage. Also, we bought DD a set of pottery barn sheets, but we didn't think for the price those had the softness we expected either, so those went back. In our opinion, we can find better sheets for the same or similar price.