For me, feeling like I had a little privacy while sleeping was crucial. Creating a foot board that creates some privacy for the bed is a great way to define the bedroom space. I also love the entryway table they used against to the foot board to create a real wall look.
Looking for a not so permanent solution? A rod with a curtain can do the trick. You can keep it open and airy or close it off for privacy. A sheer or semi-sheer curtain is important to help filter light through though.
On the topic of light, it's important to choose window treatments that will allow for maximum light to come through. Make sure when you open the curtains you'll be able to pull them completely to the edges of the windows. Also make sure you have proper ambient lighting to prevent dark shadows which will make the room seem smaller.
A very budget friendly solution is to purchase an open bookshelf like the one above to use as a wall space. The fact that it doubles as storage is really important since small spaces tend to lack storage space. This is one of my favorite tips and I've used it in the past. You can find similar, inexpensive modular shelving at Ikea. Mine has held up well over the years.
Consider raising up a space! This creates a ton of storage space and puts one part of your space above the rest. This is a great solution if there's not enough square footage to create storage otherwise.