Do more expensive sheets actually feel better?

Often, but price tracks fibre quality and weave, not the thread count on the front of the package. A genuinely better sheet uses long-staple cotton, linen, or quality bamboo, with an honest weave, and that costs more to make. But an expensive sheet boasting an inflated 1000-plus thread count can feel worse than a mid-priced 400 count in good cotton. Judge by the material and weave, and if possible feel the fabric, rather than by price or the headline number alone.