Tina,
I haven't seen regular old-fashioned darning thread in many years in any local stores. I even looked at the shops in the Amish area of Ohio, where I thought for sure I would find it, but none there.
What I use is crocheting cotton that comes in a big softball sized roll. It is very cheap and wears very good.
I looked at the links OkiePastor just posted, but those prices seem high to me!