I use ball points for knits - it makes a huge difference. A sharp will cut the threads and cause little holes - and yup, I've found that out first hand..
I use sharps for everything else.
I get my needles from Discount Embroidery Supply - and I use the same needles in my sewing machine as well which is super sweet.
I change my needles out every 4 or 5 projects. A needle that has a lot of time on it starts to embroider out kind of icky..