The responses you've already received are good. In case, like me, you want to know WHY an answer is good, you might enjoy checking out the thread tutorials at:
http://www.superiorthreads.com/
They, of course, want you to purchase their threads, but the information Dr. Bob, the thread doctor, gives you, is wonderful.
Of all the ideas given so far, I have to repeat the following: -- don't use hand quilting thread in a machine (it's processed differently at the factory, for one thing, and can mess up your machine, -- don't waste time or money matching colors when piecing - neutral colors will work fine for this part...light neutral for light colored fabric, etc, -- cheaper thread may break more often and leaves a lot of lint in your machine which requires cleaning and could effect your tension the wrong way, why spend all that time and money making a quilt with cheap thread that can wear out when a few cents more can help ensure the quilt lasts a long time? -- "long staple" thread reduces lint and is stronger than short staple (Dr. Bob can explain.
And remember that even when you get the right thread, you need to make sure you use the right needle to go with it...but that's another thread! :lol: