I use embroidery thread most of the time, I get locally from the embroidery shop because i get a discount for buying a machine there. I pay 3.29 a spool for 1000m. I'm sure i could buy something cheaper online but i like being able to see the actual color so I can match it with the quilt and not need to buy more colors than I need. I have used Cotton thread when doing less dense quilting. but the finer embroidery thread works realy well when you have a dense design. they have now come out with a low sheen embroidery thread that is polyester.