I like Superior's "SoFine" thread a lot. It is a polyester, but it feels like a cotton and quilts beautifully. I use it for both piecing and free motion quilting. I just finished a crib quilt today and I used a varigated 40wt Aurafil. Aurafil comes in both a 40w and a 50w, but I like the heavier 40wt version.
Don't use cheap thread - it just isn't worth it. Most people like 100% cotton thread, but the SoFine is great stuff. I think varigated threads hide a lot of erors too!
Pam