I only ever used the top sheets as wraps when DD got bigger, so I think they're useless, and all the sets come with pillowcases....for what reason I don't know
Totally agree! Drives me nuts! And it's so hard to find just a fitted cot sheet on its own In saying that I did get a set of two plain white fitted cot sheets at Target yesterday for $10 I have no idea why they don't have the funky colours in sets like that though.

DD has a cute ladybug set which came as single items (yerhar!) from BigW. I bought another couple of Kids Line loose items (which go beautifully with her ladybug set) from a baby shop. The set I bought before she was born is a jungle theme and I got that from a baby shop too. The brand is Lambs & Ivy and it's gorgeous but it was crazy expensive and I couldn't use half the stuff that came in the set!!

Definitely go individual items if you can. We only really use fitted sheets and a nappy stacker. We have the quilts to match but they only go on randomly, like when we have visitors