Know Your Thread (It's not string!)
Sewing threads come in lots of different types. Some are manufactured to be used for constructing your garment, and some are for decorative work. All of the threads here are designed to be used on a sewing machine, but you can sew by hand with them, too! A few pointers to get you started:
Construction Thread or Standard Sewing Thread :: Usually a poly/cotton blend, it's the best choice for stitching your seams on garments, and can be used for most home-dec sewing and some quilting.
Invisible Thread :: Newer types of invisible thread don't melt like the older nylon invisible thread. Look for polyester varieties, which are softer on your skin. Works great for invisible hems, and stitching cordings and other decorative trims in place. You'll never see the stitches!
Metallic Thread :: There are a couple of types of metallic thread. A twisted variety, and one that looks like a "sliver" of metallic, a ribbon-like polyester film. These are great for a hint of bling on a project. Make sure you read the directions, and choose the correct needle for your machine to prevent breaking the thread.
Machine Embroidery Thread :: Two common types: polyester and rayon. Rayon usually has a broader range of colors, but it's not as durable as its polyester "cousin". Choose this thread based on your project. If you're doing decorative stitching on something that won't be getting a lot of wear, you can use rayon. If it is something that will be washed often (like kids' clothes or towels) choose the polyester version.
Quilting Thread :: Two kinds: hand-quilting and machine-quilting. Hand quilting thread is usually a bit heavier. It comes in all kinds of colors, as well as variegated and multi-color. These threads are also good for some decorative work when you don't want the high shine of rayon or polyester machine embroidery threads. Variegated thread has shades of one color going from light to dark. Multi-color means that it has more than one color which changes as you stitch, which can be a nice effect when quilting.