The set comes only with two pillow cases and the comforter. I bought my own matching bedsheets for under 20 bucks. This combination is still much cheaper than the previous comforter/sheet set I owned which only lasted about a year before getting torn up on its own. All around this is a good deal, and if you like the gray look, you'll like it more in person.
The sheets look great, and sleep cool. I live in a pretty hot part of the States, and the microfiber side manages to keep me cool. If the AC is on, the comforter even sleeps cold, which I love. Though, when it gets too cold, the comforter is reversible, so I just flip the set to the other side that sleeps warmer. The pillow cases operate in the same fashion.
My only gripe with this comforter set is that I would've appreciated two more pillow cases, but I'm not real torn up about that. The microfiber itself doesn't have much grip to it, which is something I've never thought of before until I bought this set. My head always ends up sliding off my pillow if the pillow at too large an angle to the bed. Also, because microfiber is such a delicate material, the comforter and cases MUST be dried with very little heat after washing. I've seen plenty of reviews that talk about ruining the set by putting it in the dryer too hot. Some reviews suggest not even putting it in the dryer at all. I put my set in the dryer on low heat for a longer amount of time and it comes out just fine. Other than the lack of a few extra pillow cases and the tedium of using such a fine material such as microfiber, this product has been nothing but great for me. Would definitely recommend to anyone trying to sleep cool with a nice looking set.