Your baby is going to spend a lot of time sleeping. Today, sleepwear can go beyond PJs - and now includes swaddling blankets, and "sleepsacks" (wearable blankets).
A big question for sleepwear focuses on flame retardancy: Pajamas for babies from zero to nine months do not have to be fire retarded. After that, loose fitting cotton nightgowns and pajamas may be treated with a chemical. Polyester pajamas are inherently flame resistant and appear not to be treated with chemicals. Tight-fitting cotton pajamas are also not treated. Otherwise, sleepwear carries the same potential chemicals of concern as other clothing: 13 chemicals were reported by companies to Washington state, including antimony, nonylphenols, eight phthalates, solvents like methyl ethyl ketone, phthalic anhydride and styrene.
Make sure you don't allow open flames like candles around babies and toddlers in sleep clothing. Modern common-sense methods of preventing house fires like well-maintained smoke detectors are better methods for protecting your children from burns in a fire.
Consider close-fitting natural fiber sleepwear. As with all clothing, wash sleepwear before babies use it. Avoid fabric softeners, as they remain on the fabric and can reduce flame retardant properties. Whenever possible, choose organic textiles for items that will touch your baby's body. Products made of fabric are certified organic by GOTS (the Global Organic Textile Standard). Avoid latex to avoid possible allergies.
References & Resources
Learn more about the hidden hazards by reviewing the glossary or take a deep dive by reading Safer Products for Babies and Toddlers: Resources and Recommendations for Retailers.
Greenpeace has a campaign to detox the textile industry, and has a lot of information about the hazards there, including in children's clothing.