Take whatever isn't bolted down when staying at a hotel (and whatever you can unbolt if you have the right wrench) just make sure you don't get charged for it on checkout. If I'm travelling and find a pillow I don't hate I'll call down and tell them I'm missing a pillow and they'll bring one up and I take the original pillow with me for the duration of my travels.
This is especially important in Europe where they have perfected many things (highway traffic, single-use bottles with lids attached, pretty much all the food, etc) but have not yet discovered North American bed technology.