Depending on your machine & the settings, you should be fine with not breaking the thread doing most FMQ.
That said, my absolute favorite is Aurifil. It is extra long staple Egyptian cotton, 2 ply & very low lint. It is the Cadillac of machine threads, in my opinion. A 40wt will show up very nicely, but if it's your first attempt at FMQ (you didn't say), I would probably stick with a matching 50wt so it doesn't show all the little flaws. Just like with hand quilting, it does take time to get the right pacing & build muscle memory to form even stitches whether on straight runs or going around curves. If you've already been practicing, please ignore the rest of my post ... but so often I see brand new FMQ'ers who pick a 28 or 40wt cotton (or even crazier, a shiny synthetic) in a contrasting color -- sometimes with different colors on the top & backing -- and they complain about how much they hate FMQ & go back to straight line quilting with a walking foot or hand quilting. Both of those are beautiful techniques, but I just feel like if someone is going to make the effort to give FMQ a try, why not try to set yourself up for success? Starting with something like an Aurifil 50/2 cotton in a matching color with the same thread top & bottom and a nice curvy meander -- after already having done a couple practice sandwiches -- is likely to produce an acceptable result. No, it's not going to be award-winning and I wouldn't plan on selling it to a customer. It's going to be a good practice piece that a family member or someone in need will absolutely cherish and a non-quilter would never find any fault with. But there is a night-and-day difference between my initial practice pieces, my first real quilt, my second quilt & so forth. Each one made significant gains. I now use a combination of different weight threads. It depends how far apart my quilting lines are. The farther apart my lines, the thicker my thread needs to be. And at a certain point, I have to downsize my thread because the thickness changes from decorative effective to sloppy mess as the lines get closer & closer together. Those are skills you learn with time & practice. For now, if this is your first or second FMQ quilt, I really would suggest sticking with a 50/2 cotton that largely matches your top, in both the top & bobbin. It will allow you to focus on your technique rather than spending countless frustrating hours ripping out stitches that would have otherwise been unnoticeable. Poorly formed stitches should always be removed & re-sewn, but tiny wobbles or little bits that are peeking through the top or back are part of the learning process, imho.