I live in northern Illinois and our winters are brutal! Personally, I have a high quality sheet set. Egyptian cotton 1500 thread count. For my king sized bed, it was pricey, but oh so worth it! I have a fleece electric blanket that I use in the winter. What I do is layer. Like a bedding sandwich.
Fitted sheet first (of course!) then my flat sheet, then my electric blanket, then my decorative quilt. I get all the warmth I need, but only the super soft Egyptian cotton 1500 thread count sheets actually touch me.
It's an investment, but when you compare the 200 thread count "crap" sheets you get at WalMart to a quality high thread count sheet, you will happily pay the extra money.