Welcome to the rodeo! I have learned so much following people and asking questions.
I do both quilting and machine embroidery. My favorite is polyester - but also use rayon. It depends what color works best for my project. Because I like to have a large variety of colors I buy primarily from Threadart.com. They have a lot of sales and shipping is low. But I like Sulky and various others. For me it really depends on the project and the color I need. When I started I went to the Sewing Machines Plus store in San Marcos CA - they had a couple of thread bundles on sale that were fabulous so they were my starter kits.
Again, welcome and enjoy the site.