Keep your bedroom well dusted and vacuumed (let every sneeze remind you to get that done). Wash curtains as well as bedding.
Many people are slightly allergic to feathers and down, so look into allergen-resistant bedding.
Use an air purifier to reduce dust and pollen. (It can also double as a white-noise machine, blocking out bothersome bumps and woofs in the night.)
Use a humidifier in winter to fight scratchy skin and respiratory ailments; and air conditioner or dehumidifier in summer, when heat makes it hard to sleep.
Some people are sensitive to harsh-smelling cleaning supplies―like ammonia and bleach―and highly scented detergents. Check out unscented and environmentally friendly options, like Earth Friendly Products or Naturally Yours.