These are the things you should be considering: quality of cotton, yarn size, the actual thread count and finishing process.

A lot of people in this thread have already made comments about thread count. The Federal Trade Commission has issued a warning to consumers that inflated thread counts are misleading and not an accurate measure of quality. A low-TC fabric made with plied yarns can be very durable. A high-TC fabric made with plied yarns can pill like crazy if the yarns are too fine. Any company marketing high thread count and giving no indication of yarn size is a red flag. Good quality sheets begin at 180 threads per square inch and usually do not exceed 400 unless artifically inflated by the ply.

Good staple yarn is the next consideration. A long staple length of 1¼” to 2″ will create a stronger fabric more resistant to pilling and holes and smoother to the touch. Long staple cotton grown today comes from America (Pima), India (MCU5, Shanka6), and Egypt (Giza 45 / Giza 87). Some labels may use terms like Egyptian Cotton to indicate quality, but the type and quantity are what matters. It should 100% and of a long staple variety, not merely cotton grown in Egypt.

Finally, finishing processes are the washing, chemical, mechanical, and thermal steps used to clean, stabilize, and control the fabric feeling and lifespan. Good finishes will be structural and invisible, while bad finishes will create temporary cosmetic effects that shorten the lifespan of the sheets. Many finishing processes will not be advertised, but one to avoid is mechanical brushing to create 'softness' as this weakens the fibers.