I wondered the same thing. Here is a guide that should help you in selecting sheets of preference. Thread count can be deceiving. For example, a sheet can have a 200 thread count (per square inch). It could be 200 single-ply threads woven together or 100 double-ply threads woven. Double-ply threaded sheets will feel heavier.
And yes, there are sheets that come in higher thread counts. Mine are 800 thread count in a double-ply. I like the feel of thicker, textured sheets. Single-ply feel smoother, and the less threads, the lighter they will be. There are higher thread counts as well, and the cost increases with the more involved.
Another factor to take into consideration is the type and quality of material used. 100% cotton is probably the preferred type, and there are several types available (Egyptian and organic are a few). There are also silk, linen, and synthetic blends. There are also sheets that feel like a t-shirt, and of course, flannel.
Selecting a sheet type falls under “The Goldilocks Syndrome”: they are either too hard (heavy/textured), too soft (thin/silky) or just right. It all comes down to personal preference.
The best thing to do is test out the sheets. If that isn’t possible, at least feel them before buying. Considering that we spend about a third of our life sleeping, it’s best to be as comfortable as possible.