you have lots of quilting and sewing supply options in your area. go in to the shops and you will meet enthusiastic sewists who are happy to share their knowledge and experiences.
i love to use many different threads to quilt. its like having the jumbo box of crayons to play with.
sulky, yli and guterman are all really nice to use and most quiltshops in my area also carry either aurifil or wonderfil. try them all and pick ones you like to use. (rayon is pretty but not very strong. lots of people love poly and pick your thickness according to what you want it to look like would be the only guidelines you need to consider)