Bedding sets generally come with a comforter and matching pillow shams, though these may also be called quit sets. If you're wanting bed sheets too, most brands offer duvet sets that include a duvet cover, fitted sheet, flat sheet and shams.
Larger bedding bundles can offer the combination of a bedding set and a sheet set with decorative pillows, a bed skirt and euro shams added into the mix. I've found some retailers like Bed Threads, Brooklinen and Piglet in Bed offer amazing mix and match make your own bundles where you're able to select which color and size you want to suit you and your bedroom style. These bundles are usually better value for money than buying each piece separately too.
If the brand you're shopping from doesn't have bundles or sets on offer, you can still to buy each product separately, but it will probably cost more.