I've progressed from piecing from Mettler, to Aurifil, to Masterpiece, and finally settled on Presencia 60wt 3 ply. It's fabulous!
For quilting, my personal favorite is King Tut, but it's very expensive. I also love So Fine and the Bottom Line. All three are from Superior Threads.
But you can quilt with anything. I also love using YLI, Isacord (embroidery thread, wonderful to quilt with)and Valdani, to name a few.