Aurifil is great and while it seems expensive if you do the math and compare by the foot it's actually cheaper than Coats & Clark from Joann's.
I have recently been turned on to Precensia and it's even better, in my opinion so far. Aurifil is thin and low lint - so piecing is more accurate and more fits on the bobbin. Precensia is also thin and low lint AND is 3 ply instead of just 2, so it's a tougher thread. It's also a little more expensive than Aurifil and come on larger cones.
I think Aurifil might have more color options though, I'm not sure. So far I just have one cone of Precensia in a neutral color; I have lots of Aurifil on hand so I'm not in a hurry to stock up on lots of colors yet.
For really inexpensive thread where a little more thickness is what you want (such as for quilting that you want to have show), I'm super fond of Connecting Thread's standard cotton thread. Tons of colors and super cheap prices. When they had them on sale, I went through and bought a spool of every single color. It's lintier than Aurifil or Precensia, but not more than something like Coats & Clark. It's great for quilting or any kind of decorative topstitching.