Ahhh. Nothing like that feeling of a thousand baby angels caressing your scalp.
First used more than 9,000 years ago, the pillow is a simple, soft device that works to add comfort to any situation. In bed? Use a pillow. Walking to school? Need a pillow. Fighting house fires? Pillow! Skidding around corners in the snow? Pillows for days.
Most simply, a pillow works to distribute a force over a larger area. Filled with soft materials, a pillow conforms to the shapes of the two surfaces it lies between and increases the contact patch each has. Practically, this means that instead of having ten square centimeters over which to distribute force, the object being pillowed might now have forty or fifty; a sizable reduction in pressure.
Nerve cells in human skin feel only warmth, extreme temperatures, pain, and pressure. By significantly reducing the pressure on one's skin (by, say, putting a pillow underneath one's head before lying down), one can achieve much greater comfort.
Also, I found this on Wikipedia while doing some pillow research. The Japanese have weird pillows....