Cotton
Cotton thread breaks easily when it gets old, but is very strong when it is
new. It is easy to dye and has a matte look. It should not be used on
stretchy fabrics. It also fades and weakens when exposed to bleach.

Cotton covered polyester (recommended)
Cotton covered polyester is the most common thread and can be used on almost
any fabric. It is strong, has a matte look and comes in a wide variety of
colors. It holds up well in the wash and doesn't weaken when exposed to
bleach.

Polyester
Polyester thread can be used on almost any fabric. It is strong, has a
glossy look and comes in a wide variety of colors. It holds up well in the
wash and doesn't weaken if exposed to bleach. It is typically used for
embroidery.