I am not an allergy sufferer (the only one in my whole family, oddly enough), but I can tell you what my father/brother do. They live in Houston and the pollen season here has been pretty bad already (we're almost to our summer season at this point), although not as bad as previous years.

Both of them use claritin or another OTC antihistamine product. We always keep Alaway (or another antihistamine eye drop) on hand for itchy, water eyes, especially after riding in tough winds that blow pollen all over you. They also frequently wash their bedding and use hypoallergenic pillows. When they travel, they bring their own pillows.

Another thing you can do is to get one of those netti-pot type products meant for people with congested sinuses during cold/flu season. You can flush your sinuses with that or a saline rinse to help decrease the pollen load that gets sucked up your face as you breathe. My brother has had good success with doing this after riding around in Houston daily. We like to say, Dilution is the Solution to Pollution.

I saw someone else mention that you could spray Febreeze to lessen the musty smell. My only thought on this is that, if it's as humid as it seems where you are, the Febreeze will never dry, and you'll be stuck in a musty/Febreezy bed that is also damp. Humidity sucks... I am so glad I am moving to the desert soon.