I have heard of the "right" way to thread a needle and knot it also. You thread the needle while the thread is still on the spool. Then knot that end. Now you pull off what you need from the spool and cut it. I don't always remember to do that, but it has the same reasoning behind it: the thread is meant to be pulled one way, and pulling the other way raises the fuzz on it.
I don't think it is rocket science. But I have had my thread "wear out" while I was sewing with it. The reason probably was that I knotted the wrong end of the thread and was pulling it through the wrong way with each stitch.