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It's a head pillow replacement! Get one with bamboo if you can. This is the one I have. There's a groove for your head to go in.
I got a really fancy U-shaped pregnancy pillow but I'd recommend that you start with a cheap one just to see if it works for you. The cheap ones won't last as long (about a year), but the Traumreiter I just got is kind of mindblowing.
Leg pillows can be anything that's comfortable for you, preferably not too big (I use a novelty pillow I got of the Cologne Dome at Gamescom a few years ago).