I too use the 200 thread count sheets from Wal-mart and they are fantastic. Plus save big bucks on backing purchases. They wear like iron and do not "pill" when washed.
I did buy some 100% Organic cotton sheets a couple of years ago and they were horrid, they "pilled" after the very first washing.
I longarm for others and own a shop, but still tell the quilters about the sheet options for backings, so far all are happy that they saved the $$'s for more fabric to make tops, and loved the quilt when it was done. Dollars add up quickly when you need 6-7 yards at $9.99/yard!
There is no seam to weaken in the backing either by using a whole cloth such as a sheet. I love them.
They are hard to hand quilt, ask me how I know that? I would never use a sheet for hand quilting again!
I too watch for when Wal-mart puts the sheets on sale and stock up. Thank goodness our Wal-mart still offers us the top and bottom sheets seperate and not only in sets.