I use Overstock.com. Their prices are good and the reviews are pretty complete. Make sure to get a good sampling of reviews and I’ll think you’ll find them helpful.

Thanks syz. I actually do like Overstock but that’s not exactly what I was wondering.
I was wondering, how do you determine whether a flannel sheet will be pilly before you sleep in it and it become unreturnable?

I’ve had wonderful luck with flannel sheets from Eddie Bauer. A company like them or L.L. Bean have unconditional guarantees on their merchandise, and we have outlets for both here locally, so the prices aren’t bad. This past winter, I bought flannel sheets at Kohls in navy and charcoal grey. The later are great, but the blue set pilled the first time I washed them. I returned them with my receipt right away, and received a full refund, no problems. As far as how to predict the quality, I’m stumped. I would have that that the sheets at Kohls would have been of equal quality.