Depending of what kind of sewing I'm doing (free motion quilting, walking foot quilting, piecing or sewing binding) I use connecting thread (cheap but still good) or Aurifil (expensive but wonderful for fine job). I bought all my Aurifil from
http://www.tristan.bc.ca. They don't have much left now, but the other brand they sell (Genziana thread from Cucini Tre Stelle) is the same high quality then Aurifil (can't distinguised one from another when you stitch two sample side by side) They have some grab bags and big cone that end up comparing to about 7$ CAD a spool. Not bad... Of course canadian shipping may be more expensive, but it may be worth to check.