Friends have bought at these places (mostly at shows) over the last few years. I've never heard any complaints, and they've all done many pieces.
http://www.marathonthread.com/
My friend bought the entire color collection from Marathon one year at Houston. They were a pleasure to deal with.
http://www.threadart.com/shop/default.aspx
I don't do any embroidery so I can't give you any personal experience on the embroidery thread. I have bought silk ribbon from threadart.com.
Also, some sellers on eBay - if you're looking for the most bang for your buck (or pound):
http://stores.ebay.com/INDIANSPECIAL...id=p4340.l2563
http://cgi.ebay.com/50-Embroidery-Ma...item3cae0f099a
I've bought threads/ribbons and other items from the above sellers. There are many other sellers on ebay, some located overseas.
Of course, the mainstream names will be more expensive.