I purchase most of my thread from MetroEM.com My Brothers love it. I also use Mettler bu not much Sulky. Sulky is rayon and tends to break more oftern.
Good sites to learn all about thread, stabilizer, etc.
www.emblibrary.com
www.allstitch.net
www.superiorthreads.com (not sure about link)
You will love embroidering. I have been doing it for over 5 years and now I'm going to try some of the QAUG designs. Also before you buy a lot of designs, there are many many sites which give you free designs to test their degitizing. I have loads of them downloaded.
Good luck!!