I use Connecting Threads thread a LOT. Just did some sewing last night with one of their new varigated threads! I use CT for piecing if it's an "easy" quilt (like just squares) and I love it for FMQ - the thicker thread shows up nicely and since it's so cheap I've bought at least one spool in every color they offer, so I'm totally set for quilting thread!
Aurifil is my #1 favorite for piecing though; it's very thin and it is low lint. But it's also much more expensive than CT thread.
I buy it wherever I see it on sale. Beverly's is a local store for me; they price it at 9.99 a spool and I get 10% off with my guild card so that's a great price, but they have a very limited color selection available. Another local store sells it and has a huge color selection, but they want $12/spool and seems they never put it on sale so I rarely buy it there.
Fabric.com sells Aurifil for around ten bucks, but it bugs me that they don't put the thread number code on the site, so I'm never sure if I'm buying exactly the right thread - Aurifil has a lot of different colors that look very similar on a computer monitor. So when buying from Fabric.com, I stick to neutrals (which is my favorite for piecing anyway).
I've also bought CT polyester cones and used that for piecing too. Thin, zero lint, and sooo cheap.