Originally Posted by MTS

I think they're called Self-Threaded Needles. I don't have the packaging anymore.

Yep, that's what they're called.
http://www.joann.com/joann/catalog/p...RODID=prd49467

I think I got mine at Houston, but I'm sure they are made by many companies.

If you look closely, you'll see the top is shaped a bit differently. It has a slit it in, and it allows you to just "pop" the thread in. And then you can sew with it.
Personally, I don't recommend using it for regular sewing - I did the binding on a quilt with it and really cut up my fingers.
Those are sharp points on top.

But to use it to bury threads - such a pleasure.
And makes the whole process go quickly.