Basically different oils have different properties from the plants they come from. Eucalyptus is great for respiratory problems, lavender is a good toner and relaxer, peppermint increases concentration, etc. There are no rules, it's all about what you want your concoction to do. If you want to make a relaxing pillow mist you'll want to mix essential oils that are known to have those properties together, but the choices among those oils will be yours.
Remember that essential oils should always be mixed with a carrier oil (anything like grapeseed oil, coconut oil, things that won't take away from the scent) before being applied to your skin as they can be very irritating since they're so concentrated. Also some essential oils can stain so keep that in mind if for instance you are making a pillow spray and you have white pillow cases.
Also, never consume essential oils without being sure it's alright, as some can be toxic. For instance it only takes about a teaspoon of eucalyptus oil to kill a pet or child (which is actually quite a bit of eucalyptus oil, but you wouldn't want to leave the bottle lying around). Although essential oils are natural it's important to look up what you're dealing with, and you can find pretty much anything you want to find out online.