Buy pure white in TK - it's all over 200 thread count and pure cotton, at slightly more than asda prices. Eg 13 quid duvet cover, a fiver fer yer pillowcases, a tenner for two sheets.
If you're in luck they have Frette (the linen that God puts the clouds in for his duvet cover, and scuttles off for an early night) for about 50 quid.
I love bed linen and to my horror the TK stuff has lasted so well - Lulu Guinness, Frette - that I genuinely can't justify buying any more for years.