I use the thread that gives me the color and effect that I want - cotton or poly, fine or thick, matte or shiny.
Like someone else already said, you don't want to use the glazed hand-quilting thread in your machine - not only can the glazing gum up the tension disks and needle, but the twist is opposite to thread used for machine quilting and it's nothing but trouble to use it in your machine.
But, other than that, I use whatever I want. :)