There are so many options when choosing a pillow, it can be rather confusing. The type and size of pillow can have a major effect on the health of your neck.
First of all, don’t sleep without one. The reason for that is, one should always sleep on their side or back, and a pillow is needed for proper support of the head and neck. (The arm is not meant to be used as a pillow.) Proper support means the head and neck are held in as neutral (aligned) a posture as possible, whether one is on their back or side. This reduces the chances of developing neck pain, headaches, etc. (Stomach sleeping should be avoided at all times due to the stress this places on the neck.)
Whether or not to use a cervical (formed pillow) is up to the user and their chiropractor. These can take a while to get used to, and one size does not fit all, but many people find them invaluable and would never go back to conventional pillows. One advantage to these is they are usually unsuitable for stomach sleeping.
Which material is best for my neck?
As for the material with which a pillow is filled, feather pillows, as a rule, are the least supportive. They usually have to be fluffed up to achieve the desired support, but they tend to “un-fluff” during the night, so there is no consistency. (Sometimes two feather pillows together work okay.) Fiber or foam-filled pillows are more firm and provide more consistent support. Again, sleeping with the head and neck lined up is the goal. Some people are allergic to certain types of fill, so they should be certain to purchase a hypoallergenic product.
Again, there are a lot of pillow choices. Some stores will allow you to return it if you make a wrong choice initially and need to try another type, so ask if that is a possibility.