A lot depends on your machine. Some are persnickety and others are not. My machine handles most threads just fine and I often use the same thread for piecing as I do for quilting (just in a different or matching color). I use the 50 weight cotton thread from Connecting Threads. It is a bit linty but I like it. I also use variegated thread from the Coats & Clark Star line.
If you want your threads to stand out, then you could go with a thicker thread. (a 40 weight for example). If you do that, it is important to keep the bobbins separate. 40 weight is too thick to do piecing I think.
Regardless of which thread I use, I always buy it on sale.