I assume you're talking about hand applique and don't want the thread to show. I like to use 100 wt silk thread, but Nancy Chong, who is definitely an expert, uses 50 wt. Aurifil -
http://prqc.com/thread_applique.htm. Other people have their own preferences. Some people match the color of the top fabric, and others rely on neutrals (grey, cream) for everything. No rules, just try a few different things and see what works best for you.