It is narrated from Sayyiduna Ali bin Abi Talib (may Allah be pleased with him) that the shroud should not be made expensive; I heard the Messenger of Allah (peace and blessings be upon him) saying: "Do not be extravagant in the shroud, for it will soon be snatched away."
Hadith Referenceالسنن الكبرى للبيهقي / كتاب الجنائز / 6695
Abu Ishaq narrates from Silah that when the time of death came to Sayyiduna Hudhayfah (may Allah be pleased with him), he said: Buy a shroud for me. A hullah was brought to him whose price was three hundred and fifty (350) dirhams. He said: I have no need of it. Just buy me two white garments, for they will not be left on me except for a short while, until they are exchanged for something better than them, or worse than them.
Hadith Referenceالسنن الكبرى للبيهقي / كتاب الجنائز / 6696