There are many different designs out there, from goose down, to inflatable, to just a stuff sack in which you put some clothing for loft. There is nothing wrong with any of these approaches, and you should pick the design that best suits your interests.
Here I just want to point out a fairly new manufacturer of camping pillows, who has developed a rather innovative way to use thin nylon for his designs.
The result is the Kookalight Pillow. It is very light, coming in at 1.3 oz. It is also fairly small, measuring 12 in length, 7.5 in width and 3.5 in height.
Since it is an inflatable pillow, made from a very thin material, it can be compacted to a very small size, alleviating some of the feelings of regret at the thought of carrying a pillow into the woods.
The pillow retails for about $30.00, and if you are in the market, it is worth a look. The manufacturer is very responsive, and I even hear he is willing to take custom orders.