Bed Bath & Beyond has great deals and some nice comforters. Some other places to check out are Macy's (online or in person), Kohl's, or Target.
High thread count is great. Two hundred is about average, and anything 300 or above is getting real nice (although the prices will go up as the number goes up). Don't go for the 50/50 blend of cotton & polyester. For me they always made my skin itch and they weren't comfortable at all. Egyptian cotton is a great one to look for.
Redsneaker brings up a good point. Ralph Lauren has always been great with bedding. I have a duvet that I've had since I was in high school, and it's still in great shape.
Extremely soft after all the washings it's been through.
If you get any down/synthetic comforters (the plain white ones you see), those generally have a different fill/thickness/weight, and should be something along the lines of lightweight, medium, and heavy.
My first job in high school was at a department store in the luxury bedding section, so I'm a bit biased.
My bed's always been super soft and nice.