Depends what you want. I bought one from Ikea on Fri, duvet and pillow for £12 and two covers for about £6 each. I bought them to try to tempt dd back into her cot and they seem fine. Pillow is thin enough not to worry me about suffocation!
Be careful with sizes. IKEA cot quilts and covers are 110cm x 125cm. The one Lizziemum has linked to is 100cm x120cm. My cot bed one is 120cm x150cm. Mine was from an ebay shop. Asda direct online are selling a 4.5 tog one for £6! (But £5 p&p). I'm going to buy a spare. Agree covers are pricey - 2 of mine again came from ebay shops and one from Jojo Maman Bebe.