The Brothers rep at a Sit and Sew told us that polyester serger thread is fine for embroidery. It has a nice shine, and there are a LOT of colors. If you want it thicker, use 2 threads. You can even use 2 shades to get a more interesting look. I use Superior's Bottom Line in the bobbin. You have to adjust the top tension down a bit when you use BL in the bobbin, because it is much finner than whatever you are using on top.
Polyester doesn't build up lint like rayon and cotton - and it is much less expensive. Try it, and if you don't like it, you haven't wasted a lot of money on it.