I love ThreadArt - I bought huge collections of their poly embroidery thread when I first bought my embroidery machine. It is GREAT quality thread and buying the collections saved me a lot of money over buying a few spools at a time.
http://threadart.com/shop/default.aspx
I also buy their Type A pre-wound bobbins for my machines that take a class 15 bobbin - they last forever and if I wait and buy them on sale, they're only $30 per gross. :)