Bedsure Bamboo Cooling Sheet Set for $60: These bamboo sheets are some of the best affordable sheets we've found, though not as cooling as our top picks. The Citizenry Stonewashed Linen Sheet Set for $299: These linen sheets from The Citizenry are my absolute favorite linen. My Sheets Rock the Regulator Sheets for $199: These bamboo sheets are cool and silky to the touch. Parachute Percale Sheet Set for $269: This is another nice percale set, but a little pricey compared to others we've tried and loved. There's a lot of terminology thrown around in the world of cooling sheets and cooling mattresses.