I have an inexpensive brother and have only been able to get it to work with a polyester thread. Right now I'm working with a polyester embroidery thread that has a little sheen. It comes on a cone, so I have it on a cone stand. I'm using a topstitch needle which has a bigger eye. I had all kinds of problems with cotton thread, it just wasn't strong enough to handle the tension adjustment I needed to do on my inexpensive brother (I can only adjust the top tension).
I was quilting away just fine the other day when all of a sudden it wouldn't link the stitches up...big loops everywhere! Yikes! Turned out it was just the needle. Tossed that one out and a new one...presto!
I've also noticed on my Brother that it's quilting much better since I switched to a cone based thread on the cone stand. The thread comes off the cone so easily. The machine doesn't have to yank on the thread to spin the spool. I think from now on I'm sticking to these cone threads. I have a different brand: 'Isacord' (polyester embroidery thread) that I'm going to try on my next quilt.