I'd put it behind glass in a shadow box and hang it over my head where I sleep. The perfect dream catcher. Would never ever sell it.
Edit: Please don't take that the wrong way, but it's a bit insensitive to ask MJ fans in June whether you 'should' sell a pillow case that Michael signed. It's a tad odd for that question to be your very first post (in June) on an MJ board where emotions tend to run high.
I hope that wasn't your intention- and should I have misjudged this post- my sincere apologies- but I hope that wasn't a 'let's rile them up' posting. This should go in the appropriate memorabilia section, instead of hoping to find buyers here.