For piecing I usually use a light to medium gray or a light cream if its stitching on white or very light fabric. I also use Bottom Line for bobbin thread.
for applique I usually try to match the fabric as close as possible or if I want to accent with stitching on top (zig zag or satin stitch) I use whatever will contrast well. For quilting it varies, sometimes I want the quilting to be featured and sometimes not, so choose thread that will do that job.