I have to say that the absolute best thread out there to use is Aurofil!!!!! It comes from Italy and is 100% cotton. It is strong, yet not strong enough to cut into the quilt. It also last longer than any other thread out there, at least in the cotton range. When I put it on my bobbin it last twice as long as anything else. The thread isn't very thick, which is great because the thicker the thread the more you need to adjust to get the 1/4" seam. I know Keepsake started carrying this, though I've begged and begged and now I can pick it up at one of my LQS. Yay!!
I like the Essential Threads by Connecting Threads. There are a wonderful range of colors, which I also use for applique, but it is also very linty. I usually have to clean out my machine twice as often when using that thread then anything else.
I just took a mini-class on threads last month and the one thing I hear over and over and over again is do NOT use Coats and Clark or Dual Duty. Their threads are made from very short staple cotton and as a quilter, the longer the staple the better the thread, which is why Aurofil is so wonderful.
Whatever you choose, never, never, NEVER use the threads that go on sale at 10 for a $1! Those are not a good quality thread and the only thing they're good for is for basting. Every once in awhile some well meaning relative very excitedly gives me a bag of thread they picked up for a couple bucks. Inside I cringe and outside I just thank them and then use them to baste with so that I don't have to waste my good thread. ;)
I am a bit of a purist and only use 100% cotton when making a quilt, unless it is a baby quilt or for someone with Alzheimers. I have appliqued with other types of fabrics, but when piecing I stick with the straight cottons. Now my hubby has a quilt his grandmother gave him when he was a little boy and it is all polyester fabric from the 60's. Darned if the colors aren't as strong and vibrant as the day she made the quilt and I'm often tempted to try making a quilt out of it, but then I'd have to buy an entirely new stash and there are still so many wonderful cotton fabrics out there just waiting for me to purchase them so I doubt I'll try polyester anytime soon.