I buy all my embroidery supplies from
http://www.allstitch.net/index.cfm
I've only found one place that sells Madeira thread cheaper but the other site is so hard to navigate that I just stick to All Stitch. Shipping can get a little pricy so my BFF and I combine our orders to get free shipping. I use the Poly Neon thread, I tried rayon and didn't like it. I have two Janome machines and they both like Madeira thread.
My advice is to try a spool or two of different brands and see which your machine likes.
Cari