A king-size set of the Frette Ultimate Sheets retails for over $4,000. After sleeping on them for two weeks, I share what sets them apart—plus a few drawbacks.

I tested eight sets of flannel sheets, breaking down their softness and weight, and landed on one set that kept me snuggly and warm in bed during chilly nights.

They include popular luxury brands along with lesser-known industry faves that are as practical as they are beautiful. View ...