Thanks for the feedback. My sheets are bright white. I know, I know, I should have gotten a different color/pattern; but at this point I have many sets of white sheets and so far they have been great and I've managed to keep them very white.
I tried the lint roller solution and I still get dog hair stuck to the sheet. I think I'm just going to disallow pets if guests can't keep them off the bed. I have a dog and I've trained him to stay off the furniture. He never gets on my bed, so it didn't occur to me that other people do sleep with their dogs.
Anyway, thanks for the feedback. I'll keep trying to figure it out.