I tried Coats and Clark - got 2 spools - one good, one bad. The bad one had blobs of wax throughout that wasn't obvious on the spool, only noticeable when the thread was pulled out.
Also tried Gutermann (sp?) that's worked fairly well for me, and is the one I continue to purchase. Mainly because it is the only brand consistently available where I live, at a reasonable price.
However, I have heard that YLI is the best. I've heard this both on line, and from some of my hand quilting friends. I plan on trying this one out in future.