Any good quality regular weight sewing thread will work for machine quilting. I use both polyester threads and cotton. I would caution against the really cheap stuff because it can be weak in spots and really slubby. If you do wind up with a bad spool of thread, don't hesitate to take it back to the store.
Although this is really personal preference, I suggest that if you want to use a lighter weight thread for the quilting to go with a polyester.