If you have a Bed, Bath & Beyond near you, I'm pretty sure they have a return policy on pillows. (Ask to make sure.) If it doesn't work for you, you can return it no questions asked. They donate the used pillows to a homeless shelter.
We used feather pillows for many years and liked them. When dh needed a new pillow, we got a feather one for him (quite pricey!). It was a top-of-the-line pillow, but it bothered him from the first night. Lasted about a week. I believe the type of feathers used has changed over the years and it is harder now to find good feather pillows. He bought another pillow which I think is the down-substitute type, and that is working well for him. I wouldn't like it, though.
I think it was the My Pillow that my brother got. It didn't work very well for him. I got him a memory foam pillow for I think $35 at Sam's Club and he loves it! Got my sister a $20 memory foam pillow from Sam's Club and she loves hers too. You can check out reviews of the My Pillow at Amazon:
http://www.amazon.com/Pillow-Seen-Qu...dp/B00990J620/
http://www.amazon.com/MyPillow-Class...dp/B00BC0SPIQ/
http://www.amazon.com/My-Pillow-Prem...dp/B007LLNMEC/
http://www.amazon.com/My-Pillow-Prem...dp/B007QDYN3E/
My pillow is an old feather one that still works for me. If I had to get a new pillow, I would definitely try one of the memory foam ones (especially as Sam's Club will take returns on pillows, I think). They come in different shapes too.
Dh started complaining about our mattress. We bought a memory foam topper from Sam's Club for about $100 and we both like it! Saved us from having to buy a new mattress. Same thing with my brother. He was all set to buy a new mattress and I convinced him to try a memory foam topper first. It solved all his problems with the mattress.