Sex Mess: If it's a water-based lube, it's going to be very easy to get rid of. Cleaning a silicone-based lubricant stain is going to be much more labor intensive.
Cleanup Tip: For water-based lube, do nothing, just wash your sheets and it should come out easy peasy. For silicone-based lube stains, use white vinegar or Dawn dish soap to dissolve it. If you want to try a more aggressive tactic, Mostenbocker's Lift Off for silicone, latex and caulk will blast that shit off. The sad truth is that it might be more cost/time effective to buy new sheets depending on how much lube you spilled. Or it may be time to invest in rubber sheets.