I use thread of any and every kind and weight. I like my quilting visible so I tend to use thicker thread. I tried it all and everything seems to work. The way I see it, three most important things of FMQ are turning your stitch length to 0, lovering/covering your feed dogs, and useing FMQ/darning foot. Everything else is matter of practice and personal preference. It looks awesome with any thread. Have fun!
P.S. I fell in love with FMQ recently and I am hooked.