Don't buy a matched set! (That's my opinion anyway, and it seems to be what many interior designers recommend too.) I bought all my furniture off CraigsList with the exception of the bed. Admittedly, it's still a work in progress but what I like, what I love actually, is that I have a home filled with unique items that all work beautifully together.
Here's what I suggest. First, determine how you intend to use your bedroom. Do you want it to be serene, a place to sleep, perhaps read? Do you want to watch television in bed? Do you prefer an uncluttered look? Are there any particular pieces of furniture you despise (armoires, long dressers, etc.)? Do you have pets who will be sleeping with you? What color(s) would be your ideal choices? What types of furniture (design, color, style, etc.) do you favor? Here's where all those interior design magazines and blogs and websites come in very handy; they let you see so much that is out there and you can easily determine what works for you; if you can determine why something "works" for you, or does not, you are on your way to finding the right pieces.
Second, look for individual pieces that fit the intention/theme of your bedroom. For example, I am making mine a seafoam green so I will have some blue-greens, teals and emerald greens in addition. I dislike matched sets of any furniture so I have two antique Duncan Phyfe tables I use as nightstands and a single two-drawer dresser with tall legs from the 1930s. They do not "match," and I love that. The bed, because it is so large and needs to make room for a lovely wing chair with ottoman, is off center, and so on. It works for me because I only read and sleep in there so I want peaceful, quiet, calm, an oasis for me.
CL, garage sales, flea markets, maybe thrift stores. I'd certainly look online. There are any number of stores that have furniture regardless of your price range. Also, HGTV magazine is a wonderful DIY resource that often has stories of flea market finds of old stuff that is repurposed with some old-fashioned handwork.
Best of luck with whatever you choose.