When my sister and I were little, we would beg our grandma to let us sew pincushions. It was really the only thing we could create that had 4 straight seems, but could also be useful. We never graduated to pillow cases, but I think that would have been next. They would have had to be miniature, though, because we did it all by hand.
20+ years later, I came to realize that pillows are really just big pincushions. And with a sewing machine, I can create things that are bigger than 2" x 2".
If you're new to the world of sewing, that means you only know a little bit less than I do. A couple of things you'll need (I linked to some of the ones I've used with great success):
Surprisingly simple stuff. You can have a little pillow (or a giant pincushion) to rest your head on in no time.