I order my thread from these places:
Quilting thread I get from Threadart.com, they also sell some on Ebay. The standard cotton thread is 50 weight and heavy duty cotton is 40 weight. We also use this for sewing thread.
Embroidery thread I order from marathonwest.com
Both of these suppliers are very reasonable and the thread is very good. I've never had problems with knots or breakage like I've had with others. If you can get on there email list sometimes they have half price sales.