I have a few favorites, and like them all for pretty much the same reasons. They are all "clean" threads, meaning I don't have a lot of thread fuzz build up in and on my machine, I don't have a problem with breakage or separation of ply when they move through my machine, and they have a nice sheen to them which looks great especially when quilting with them.
My fav's are (in no particular order): Aurifil, some Sulky, Superior King Tut, and Gutterman.
There are a few others that I have and like, but I'm not home so can't remember all of my thread names right now.
Two that I don't like off the top of my head (because they failed in some or all of the above categories): C&C and Connecting Threads Essential thread.