During winter you want warm and cozy bedding. Some people might use different type of bedding for different seasons. I use the same bed sheets and pillowcases all year round and the only thing I change is the comforter. A thicker duvet or comforter will help trap your body heat to keep you warm and comfortable.
Some people might prefer flannel bedding. It is a cozy winter bedding. It is inexpensive plus it is soft and warm for cold nights. Make sure to check the label says “preshrunk” when buying flannel sheets or you might end up with a fitted sheet that would no longer fit.
Some people might prepare a duvet or comforter for extra warmth during the winter months. For a duvet you might want to cover it with a flannel duvet cover for a cozy warm night.
Another bedding to use is a down or down alternative comforters. If you are allergic to down you can use a synthetic-down. Both will keep help trap your body heat all night.
Another bedding that is good for the winter is a wool blanket. Not a lot of people including me like wool material esp. if you have a sensitive skin. I’ve seen wool blankets used in log or cabin homes.
Having the right bedding is important esp. during the winter months so you can have a restful and a good night sleep.