To make a bedroom cosy, it needs to be not too large, have curtains/blinds so that you can see out slightly and no one can see in (a partial block out blind perhaps), and lights fitted to the side of the bed that could be dimmed.
Team that with a pretty doona cover or blanket, with lots of various sized cushions on the bed, and voila -you have a cosy room.
Add some soft music to make it more cosy and enhancing and, of course, if it is winter, the heating must be on!
Soft furnishings such as cushions and quilts in nice warm colours such as pinks, orange, brown and yellow, always provide a warm cosy ambiance. If it suits your home decor, handmade items like soft quilts made from bright-coloured folksy prints and crocheted doilies also give a lovely homey feel to bedrooms. .