Charlotte has one - we gave it to her around 16 months or so as she slides up the bed and hits her head on the top so we thought it might stop that. It doesn't but she does seem to sleep well with one.
Kayleigh doesn't, but her cousin got one at 4 months. It was found he slept better with his head raised a little. Now he has it on top of his sheets, and with all the worries about SIDS, I think If I was giving Kayleigh one at that age I would have put it under the fitted sheet.
When we moved Jacob into his big bed (about 2 years old) he had his grobag and no pillow for a few weeks. Then we started him with a pillow and duvet. For a little while he wasn't too bothered with a pillow but then he got used to it. Only problem we find now is that he sweats quite a bit at night, so there's normally a 'wet' patch where his head goes.
Taneli at about 2years when he moved into the cot bed...and boo, well i have tried as is apparently safe from 1 year, and he was coughing alot, but he hated it so i tookit away again.
i bought little ones from ikea, 2 to they could be washed nice and regularly
dd4 has recently taken to using a pillow (mine!) but since I use an ikea memory-foam one I have to move it if she turns onto her back and she doesn't really miss it.
When Isabelle was wee we used to prop her up with one of those arrow shaped (like a ^ ) pillows as she didn't roll and was right next to me... Probably against all SIDS advice but if she had a cold or was having a bad reflux day it really helped...
She doesn't have one now as she wriggles everywhere in the cot (did try it a week ago) and I'd be worried about her wriggling under it...