I have several different brands of thread, and have used them all, sometimes intermixed in the same design. All manufacturers produce good and bad spools of thread, and I occasionally finish a project and throw one of the spools away because I fought shredding and breakage all the way. Other spools of the same type of thread by the same manufacturer work perfectly. Experiment until you find what you like, but don't be surprised if you sometimes throw away a nearly full spool.
I have bought thread sets from Amazon.com - I think they are Thread Art - and been generally happy with them. Starting with a set is a good idea (cheaper to buy in bulk) but you will eventually have to buy individual spools as you will use some colors faster than others.
Happy embroidering. I hope you enjoy your machine as much as I do mine.