I have used both Rayon and Polyester thread. Rayon will not hold up to frequent washing and will completely lose it's color if bleached. It is beautiful though on items that won't be washed or very rarely washed.
Mary is correct about Polyester. It holds up very well to washing and is colorfast and shrink-proof. It also has a beautiful sheen like Rayon and is available in hundreds of colors.
Look for Polyester Embroidery Thread that is 40wt. (40 weight) Most digitizers digitize their designs with this weight of thread in mind.
I would also suggest that you read your manual thoroughly and speak to your dealer about free classes that will cover the basics and get you going. Additionally, there are quite a few books available that will give you information about proper hooping, non-hooping techniques, threads, needles, and stabilizers. Don't be scared. I know that sounds like alot, but you will learn quickly. One book you might want to look for is "Embroidery Machine Essentials" by Jeanine Twigg.
Your husband gave you one great gift. You will find yourself wanting to embroider everything very soon. Tell him to hide his underwear!
Have fun, and don't hesitate to ask questions as they come up, okay?