When choosing a bed set, you must consider all of your options. One of the first things you must do is figure out how much to spend. Do you want to put a good portion of your money toward a mattress (futon, adjustable air mattress, standard mattress) or do you want to splurge on some majestic-looking quilts or several decorative pillows instead?
One way you can save money is to buy used furniture - in particular, you can buy decent mattresses, gently used, from a variety of retailers. Or, if you are looking for a more simple option, a new futon mattress - the frame is ideal, especially for small spaces (college bedroom apartment or bachelor pad studio spaces) and like used furniture, won't necessarily over-extend your budget.
Actual bedding including comforters, sheets, and decorative pillows/shams often are a huge expense, and if you can save just a little cash on the actual furniture, you can plan to spend more money on the bedding--seasonal patterns like flowers for spring and flannel sheets for the winter can be more easily afforded if you purchase used furniture.
Be sure to check out rummage and estate sales because you can often get great deals on estate furniture such as oversized bed frames or even mattresses. Some retailers even specialize in estate furniture and budget bedding and can save you the work of scanning for yard sales or attending estate auctions in your "spare" time. Most of these same retailers will purchase in bulk from estates and people interested in downsizing what they have and you can reap the benefits!