I use primarily Connecting Threads thread. But actually I have pretty good luck with anything, including Coats and Clarks. Back when I bought my Viking 870 I was having all kinds of trouble FMQ. Every shop recommended a different thread, as it turns out - the one they were selling. So I have quite a few threads, but to be honest don't really see a big difference except the some are a little shinier - sulky for instance. But they don't quilt any better. Blades - bad luck with Harbor Freight. They are cheap, but the one's I got (4) were all quite dull. Have one of those hand held sharpening gadgets - doesn't work very well. Interested in what other people have about the blades. Now I do what you are thinking - stock up when there is a sale.
People do say connecting threads is linty. I think all cotton threads are linty. I do brush it out every few bobbin changes.