your needle size is dependant on the thread weight---you need to know what thread you are using then put in the correct needle for that thread.
as for the thread itself-
visit places like Superior Threads, Atlanta Thread Company, YLI, Madera and sulky and read about the threads- maybe start (small) with a couple different threads from different sources- and see what YOU like before commiting to a large investment. some people like one- while others don't & like something different- instead of going for my favorite thread you should find YOUR favorite.
that being said- the embroidery threads i use the most are Sulky, Madera & YLI.