A memory foam pillow is bound to be worse than a memory foam mattress.  With the mattress, you probably have a mattress protectory/pad, sheets and a pillow between you and the mattress.  With the pillow, you probably have a thin protector and pillowcase.  Everything is a chemical; it just a question of which ones will kill you.  Memory foam does indeed smell bad.  I'm not sure if there have been any independent studies of how toxic memory foam is to humans and in what quantities it takes to cause problems.  So many of the products we purchase are treated with so many chemicals, it's disgusting.  It's clear that many people have adverse reactions to memory foam and I find that scary.  I'm happy that with my organic latex mattress.  While it may not be 100% natural, it has to be a lot better than many of the alternatives.