I also usually use cotton.
My current favorites include:
Connecting Threads thread (for piecing)
Superior Threads King Tut (for quilting)
Gutermann 100% Cotton (for quilting)
Coats & Clark 100% Cotton (for quilting) -- not Dual Duty
However, I will play with other threads such as glow-in-the-dark, metallics, etc.
IMHO, different types of threads are like so many things in quilting -- everything has a time and place.