You aren't required to use one brand and/or kind. First thing you need to think about is Rayon vs. Polyester, I won't go into big explanations since you can find more info on the web, just use Google.
Next you need to choose a brand. There are tons of good brands and there are a lot of not so good brands. A while back I had the Bernina version of the machine you have (they were the same machine) and I had fine luck with a brand called Metro (
www.metroemb.com) and the price was great. I now do embroidery as a business and have used several different brands to try to find what is best for us. Metro didn't run well at higher speeds on our six needle Brother machines. I will list some of the major players below that I know are considered the "main brands", I am sure I will forget some:
Madeira
Robison-Anton
Floriani
Fu-Fu's
Isacord
Marathon
Glide
I sold all my Metro thread with my machine otherwise I would have sent you a sample. I guess what I am saying is with my small home machine like yours I was able to get away with using cheap thread but now have to be a little more careful with my thread selection.
As far as where to look to buy thread,
www.brothermall2.com has great pricing and low shipping. Almost everyone else I know of uses UPS and shipping is rather high for someone in the home market that may only buy a couple of things at a time. I think you can also buy Marathon thread at good rates without a business license. Not sure where you are but you can see products here
www.marathonthread.com
Since you are asking, the next question might be what do I use now. Well right now I have a mix of Madeira, Robison-Anton and Marathon. Everyone will have their favorite and it may even change over time.