There are three main types of materials used in the manufacture of tying thread - Silk, GSP and Polyester.
(Please do avoid the "cotton threads" available from well known auction sites that appear to be very good value - they have very little strength, fray easily and rot very quickly!)
By far the most useful are Polyester threads - they grip the hook shank very well and most can be both split and corded, depending on the style of pattern you are tying.
Most threads are rated using the "Ought system" - for example, 6/0, 8/0 etc. Remember that the smaller the number, the stronger / thicker the thread - so a 10/0 thread is THICKER than a 12/0 thread. By far the strongest of the Polyester threads are those offered by VEEVUS of Denmark ...