I read a horror story once where a lady used a cone type serger thread to piece her quilt and when she ironed it, the whole thing fell apart. Aparently the thread was Nylon. Since then I have stayed clear of all things serger.
I often use the same weight cotton thread for piecing and for quilting. Most of mine is from Connecting Threads. But I also use Star thread - the variegated (from Coats and Clark) with great results, and I have assorted others.
You know you can get just as crazy about buying thread as you can fabric - whod'a thunk it.