When I started quilting, I bought my thread at Joann Fabrics. I did not know that there were different sizes of thread available (some thicker, some thinner) or that there was a difference between cotton and polyester thread. I simply bought the color that matched my project.
My first step toward becoming a thread snob was in piecing quilts. A friend recommended that I switch from 40 weight thread (thicker) to 50 weight thread (thinner). I ordered some Aurifil 50 weight thread and was amazed what a difference the 50 weight thread made in my piecing. If you think about thread size using a garden hose (large thread) and a piece of licorice (small thread), you can envision that folding fabric over the thinner thread will achieve better results. I immediately had flatter seams and more accurate blocks.
When I bought my longarm, I also started buying thread by the cone. I had a lot of Bottom Line thread (by Superior Threads). This is 60 weight thread (even thinner than Aurifil’s). It is also polyester, which means that it is lint free. This time, I didn’t notice a huge difference in my piecing skills, but it completely cut out lint in my sewing machine. For the last two years, I have used Bottom Line exclusively in my Janome, and the results have been wonderful.
For more information on how thread is measured, you can read this article by Superior Threads.