It seems so rare these days, but sleeping on 100% linen sheets is a real treat. I slept on linen at the Ritz in Paris a few years ago... (you have to request it, normally they make the beds with cotton sheets)
Linen sheets are very expensive which is probably one reason why they aren't very popular. Also, I think many people just don't think of it. Too bad for them! Washed linen is so soft and wonderful to sleep on - it's very breathable and is lint free. Linen is a very strong fiber too, your sheets will last a long time.
A queen set at Cuddledown will run you $426.00. Expensive, but it's made in Italy so you know you're getting very high quality. Monogramming is extra.
At Williams Sonoma Home, a queen set is $325. They also offer monogramming for $6. I have a pair of Euro shams from this line. They are super soft and I love to use them on an all white bed in the summer. White linen is so Hamptons, I think. These are cheaper in price, but are not made in Italy, they're made in China.
Another good option is the Eileen Fisher line available at Garnet Hill. A queen set is $365. I really like the raw edge detailing on the flat sheet and pillowcases. That's a nice touch... sort of shabby chic. I'm not sure where they're made, it just says "imported", so they're probably made in China or India.