For Denmark it's something like the following:
The matress itself, then a 'top matress' on top of it which is thinner and provides extra comfort. Then a thin matress protector. All of that is then covered by a bedsheet.
Then a pillow and a pillowcase that goes all the way around it. The duvet to cover yourself is usually fluffy and covered all the way around with a duvet cover with zippers or buttons
Then some people have decorative pillows and bedspreads.
How we sleep has to do with climate and how we think about hygiene so I'm curious to see if some countries in Europe do it differently than what I've described.