I buy from ThreadARt for my Brother Innovis 4000D. Their polyester has never shredded in my machine, has never faded even when washed with Hot water, and holds it's color beautifully. Their 5000m cones are a super deal, especially when I can get them on sale. It takes a lot of embroidery to use one of them.
I bought polyester thread sets from Ebay to begin with. I wanted a lot of colors to choose from. My first set was 64 1100m spools of thread for less than $100. A friend had advised me that Rayon had issues with fading and the color running if washed in hot water. Several people have told me since then, that is no longer a problem. I haven't tested it. I have bought 3 different sets of the embroidery thread from different businesses. All have the same quality and durability and sheen. I have only bought 2 or 3 spools of thread individually and I am glad. I hate to pay 3 or 4 times as much for thread than I can get it from Threadart or one of several vendors on Ebay.
Caution: Read the listings well. Some of these are 500m spools as opposed to 1000m spools.
Some of the listings from Ebay:
http://www.ebay.com/itm/Polyester-Em...item3a96b99386
http://www.ebay.com/itm/Exquisite-Po...item23129ef022
http://www.ebay.com/itm/New-Brother-...item5662895260
There are more.