I buy Superior, directly online from them. I mostly use SoFine #50, but also like their MicroQuilter and Bottomline (both finer than #50 and great for when you do lots of quilting) and their Magnifico (like Glide).
I like to match fabric and thread so have way too many colors--but mostly use either black, charcoal, med gray or lite gray, off-white or tan, or white the most.
Oh, I also use Superior's Monopoly, usually the light one, if there's something like applique that I don't want thread to show or if the fabric is just so multi-color that no one color blends.