I use ThreadArt thread, cotton machine quilting thread on the cones. The price is great. There is quite a bit of lint from cotton thread, and each cone has a knot or two but at a bit over $5 for a cone it's worth it to me because I quilt a lot. This thread is strong and comes in many colors.
I have talked to longarmers who use serger thread, they say it works fine too but I haven't tried it. I just don't trust the strength of serger thread.