I like piecing with cotton thread because I like to use a very hot iron when ironing my seams. Too hot will melt polyester or rayon. I typically don't iron after I quilt, so I will use anything that I like the color for the quilting. When I do embroidery with polyester thread on quilt blocks, I make very sure to keep the hot iron off that thread.
The Coats & Clark cotton thread does have a lot of lint, but I still use it when I have to.