Real Egyptian cotton bed sheets are hard to find amongst all the fakes that are out there. If you want to find the real deal, you're going to have to do some serious looking around to find something that's within what most people would consider a reasonable price range.
The reason Egyptian cotton sheets are so expensive is that the extra long staple cotton they are made of isn't produced on the same scale that other cotton in Egypt is. Most Egyptian cotton is basically the same as plain American cotton and not worthy of the high price point that "Egyptian cotton" is known for. This is why legitimate quality sets are hard to find. People believe that it's the "Egyptian" part that makes it special. Luxury of the Pharaohs has more detailed information on this topic.
Finding high quality Egyptian cotton bed sheets is simple. You're going to have to search luxury brand retailers to find what you're looking for and trust me, you're going to pay through the nose for it. They're anything but cheap, but they will last you decades if they're taken care of properly.
These retailers are some of the most expensive places to shop in the country. Nordstrom and Neiman Marcus are two that come to mind. Online, One Kings Lane is another. In these stores, you can pay as much as $90 for a set of pillow cases.