Egyptian cotton sheets are already on the highest end of expensive bedding that you can get today. But, the best brands can really get extreme with their prices. They're definitely worth it, though, if you don't want to have to replace your sheets more often than once every 15 to 25 years.
There's no doubt that you'll pay "through the nose", so to speak, for a luxury set of these sheets. Lower end sets of them tend to cost anywhere from $300 to $600 per set, while the really luxurious stuff can run you into the thousands of dollars in cost. If you've ever stayed at a 4 or 5 star hotel and wondered why you slept so well, the answer is probably the sheets just as much as the mattress. The comfort is unmatched.
One brand that will never disappoint you is Sferra. Founded in 1891, they originally sold handmade lace. Today, they've expanded into fine quality bed linens.This is an aged company that has an amazing reputation for quality home goods.
Neiman Marcus carries Matouk, which is another company that's been around almost 100 years. Because these are available at Neiman Marcus, these are very high quality sheets that can run into the hundreds of dollars per set. A single fitted sheet is around $250, if that tells you anything about the final cost of a full set.