The best type of thread I've found is UTC's G.S.P.(Gel Spun Polyethelyne) thread. Its great for a lot of reasons. Most of all, if you need to crank down on your materials you can without breaking off your thread. Also if you nick the point of the hook with it, it won't break. It's expensive I'll admit (I pay 3.99 per spool), but it aleaviates a lot of heartbreak in my opinion.
The only disadvantage is you can't use it on smaller flies. Smaller than size 14(depending on how may materials your using).
I just know that for anyone considering using sewing thread, Please Don't. It's not designed for what we use it for. Plus it is not waxed like fly tying thread is.
Also many people don't realize this starting out, but, you spend more time at the Vise than fishing if not the same amount of time.(averaged out). So invest in good quality materials and tools. It will save a lot of headaches.