There are three basic ways to purchase bedding. The first is to purchase individual pieces that comprise different layers of the bed. A complete bed is made up of the following items:
Comforter or Quilt
Blanket
Decorative Pillow Shams - This can include European style shams that are typically 25" square, as opposed to standard rectangular shams.
Decorative Pillows - It is best to use 2-3 different pillows of different sizes to help break up the bed and add some different textures.
Bed Skirt (Dust Ruffle)
Flat and Fitted Sheet
Pillowcases
These items can also be purchased as part of a set. Set configuration vary widely however the most commonly referred to configurations are bed ensembles (also known under a name of "Bed in a Bag") and comforter sets.
Sheet sets create the distinction between bed ensembles and comforter sets. A bed ensemble includes the sheets while a comforter set does not contain the sheets.