a good square knot- some people tie a double square knot (tie one- then tie a second one)
some people use perle cotton, some use embroidery floss (all 6 strands) some use yarn- it's your choice- just make sure it's strong- and make sure you are using a batting that is ok for tied quilts- a batting that needs to be quilted every 2"-4" is not a good choice- batt's that allow up to 10" between quilting lines often say on the package 'good for tied quilts'