It all depends what look you are going for. My universal thread of choice is Glide from
www.bobbincentral.com But I have also used So fine, bottom line and King tut from
www.superiorthreads.com With Superior I try to hit them up at the bigger shows as they usually have pretty good show specials. I have used isacord embroidery thread that I have found at all different sources. When I want the look of silk but not the big price tag that accompanies it I go for Invisifil thread and bought that from a couple of different sources softexpressions.com and redrocktrheads.com
for deep discount thread go to
http://metroemb.com/store/ they have a super shiny embroidery thread that works just fine in the LA and you won't find less expensive thread anywhere, not even connecting threads. It is a fine thread but I like to support US manufacturers so I don't use them a whole lot but the few times I have the thread worked great and it is really pretty, very high gloss though, so if you are looking for a matte finish they won't be a good source. I could not discern a difference between their Metro line or their Sigma line, both the same price.