I use 40 weight thread (tex 40), and most of what I have is either American and Efird or the thread that Connecting Threads sells. There are higher quality threads that may perform a little better (less linty) but I can't afford them!
If you have to buy thread locally, like from your Joanne's store, try the Gutermann they carry. They often have their thread on sale for 'buy one, get one free'. Do NOT try to quilt with the Maxi Lock cone threads. They are of lesser strength and quality and are only meant to be used in sergers.
Some of the fancier threads are only meant for embroidery machines... so watch out for that too.
Aurifil is a very nice, higher quality thread that quilting shops carry... but it's too pricey for me, too.