Often, people want to venture into other colours for a few distinct reasons. Either they are trying to match the colour scheme of a room, afraid of getting white dirty or it turning yellow over time or just want something "different".
All of these are very valid reasons. But, having said that, there's a reason why white is the industry standard. White is considered a neutral colour, thus, it can go with anything. White, after all, is made from a combination of all other primary colours combined.
There is a technical side of why white is better which involves, shrinkage, degradation, and finish but, that's for another time! The main reason white is the tried and tested is it never goes out of style. Hotels, lodges, B&Bs have been using white for eons and they rarely deviate from it either.
For home, it does make sense to choose a colour, style, pattern etc. It gives it a more personal touch, and often people have themed rooms that sparkle that little bit brighter with a bit of a clean colour palette.
Whatever, you choose, make sure you know the type of fabric. Cause at the end of the day, the colour doesn't give you comfort in your bed at night!