There are pillows everywhere, so you don't need that. But they are often kinda icky looking.
However, I do think a pillow case is good. It means your head is on something (relatively) clean, and it is also good for keeping valuables safe while sleeping(passport, ipod, wallet, etc), as well as a flashlight so as to be ready for the next day. And since it is a bag, you don't have to worry about those things falling out in the night. A pillow case takes up so little room/space that I think it is worth it given the benefits.