That depends on many factors, from material to thread count to size. Generally, the higher the thread count, the more expensive the sheet. Of course, larger sizes are more expensive as well.
Certain materials are also more expensive than others. Long fiber cotton, like sea island cotton and Egyptian cotton, can be quite pricey, as can silk and any organic textile. When it comes to luxury sheets, expect to pay between $200 and $800. Some luxury sheets can even cost over $1,000.