I tried Rayon thread due to the great number of colors available (and the major availablitliy of it), but my machine does not like rayon. It would shred in the machine. I use polyester only. I have some Poly 40X and Coats and Clark trilobal polyester.
I think it depends on your machine. My advice: don't buy a TON of colors until you figure out what your machine likes. And, give yourself time to figure it out!
Happy sewing