I have made pillows and pillow shams for all 4 of my children that match their quilts. I take that back, I have not done my son's pillows yet.... Of course he lives in a barracks and so far his quilt is here on one of my beds.
Anyway, when I have made pillows I will quilt the top of the pillow before I assemble it all together.
I have made shams before that were not pieced like a quilt and those I did not quilt.
I will be finishing up a quilt this spring/summer for my bed and will make a couple of shams and probably about 4-6 other pillows that will match/ coordinate/ contrast with the quilt. I am also making valances to coordinate for my bedroom and bathroom windows. I am using extra (purposely made extra for this) quilt blocks for the window coverings, I will probably kinda quilt them with the backing fabric but not put batting in the window coverings. I will quilt the tops of the pillows and will most likely make the 4-6 of them with zippers. I may do some shams that will either overlap and velcro or maybe like pillowcases. I have not fully decided what all I am doing.