It's not that difficult to find the best Egyptian cotton sheets. What is difficult is finding some that are in a price range that most people can afford and the answer to that is: there aren't many.
The truth about these sheets is that you're going to pay at least $120 a set (see some of those at Luxury of the Pharaohs) and those aren't going to really be the high quality that “Egyptian cotton” is supposed to be associated with. It's hard to sift through all of the sheet sets and find the ones that are legitimate.
There are bad brands that will claim that their sheets are “Egyptian cotton” as if they're high quality when they aren't. Even plain cotton is grown in Egypt and in fact, most of the cotton produced in Egypt is of this lower quality variety.
The best Egyptian cotton sheets are found at high end retailers such as Neiman Marcus, Nordstrom, and some mid range stores such as Macy's. You won't find them at any of those stores for less than $200 per set, though and often they're over 3 or 4 times that much. Even some sets of pillow cases made from true Egyptian extra long staple cotton can cost up to $200 per set.