many quilters use Aurafil, Poly, silk, rayon, blends...
old=school quilters who were taught some time ago (or by someone who learned a long time ago) may say always use cotton threads-
but now days there are so many wonderful threads on the market that work beautifully and create fabulous items-there really is no reason to limit yourself.
long-arm quilters use poly's or blends- 100 % cotton thread tends to break alot with a long arm- the machine goes too fast for the thread-
there are lots of differences and lots of choices.
visit one (or all) of the thread companies---like Superior Threads -- they have tons of free information on their web sites- and Superior Threads has free charts you can print right off that tell you all the differences in the threads- what they are best used for, what type/size needle to use with them, the differences in weights---it is a great resourse to have these free pages.