I use all different weights, depending on heaviness of materials used and effect I wish to create. Twelve weight is the heaviest cotton that will go through the needle, so to avoid bobbin work I often use twelve weight if I want stitching to stand out and be noticed. If i want it to blend in i use the lighter weight threads.

Wow! Thanks everyone for all of your great advice. I only use Essential from Connecting Threads but think I'm going to try some different threads too. I don't usually experiment much because I'm afraid I will screw something up but after all of your input I'll try different threads.