A 4 piece bed set typically includes a fitted sheet, a flat sheet, and two pillowcases. This is a convenient way to buy bedding, as all the pieces coordinate and match.
A five-piece bed set includes a comforter, a bedskirt, two shams, and a fitted sheet. The comforter is typically the largest and most visible piece in the set, while the fitted sheet is typically the smallest. The bedskirt, shams, and comforter all typically feature some type of design or pattern.