Hi JMB,
Bedding (in terms of sheets, blankets, mattress pads, etc) are certainly not my area of expertise but like mattresses I think that knowing the qualities of different materials and fabrics (breathability, temperature regulation, strength, quality of materials etc) and the integrity and knowledge of the outlet we are buying from (so we can trust the descriptions attached to the product) can be just as important as our choice of product.
Of course the advantage of an outlet like Costco is that they can have good value and their return privileges are excellent if we end up making a mistake.
There are some great sources of information about bedding, fibers, and fabrics and some of them are listed in post #7 here.
From my perspective … the Costco Kirkland Signature Supima sheets seem to be both good quality and good value (assuming the description is correct). The thread count is specified as single fiber, Supima cotton is high quality, and sateen weave is soft. The reviews on the site are also worth reading though because they can give some hints of how they may feel (some find them warm with the higher thread count and some have mentioned that they seem very thick for single thread count sheets). Of course the advantage of Costco is that we can find out for ourselves without risk.
Phoenix