If you have pillows, you need to cover them. You can use a traditional pillowcase OR you can be fancy and use shams. Shams are typically used with duvet sets to offer a 'finished' look on top of the bed.
What is a sham? So a sham is a pillow cover, typically with a decorative flange trim. They can be used for sleeping on or for decoration. If you decide to use for decoration - be sure to buy pillow sham stuffers.