If you often have winter in your place, try to choose those that can give warmth like flannel sheets and down comforters. If you live in a place where the sun always rises and gives heat, then you may need to use satin and silk which are cooler on skin.
If it is possible for you to try the bedding for some time, it will be better. This way, you will know the comfort level that you will feel with it. Try to ask the seller if you can get a sampler of it so that you can bring it home.