Your choice of embroidery thread will depend upon:
Many years a go Rayon was the go-to choice for most embroiderers. Now that is changing as Rayon is becoming more difficult to source and more expensive. Polyester embroidery threads have improved tremendously and are now quite dominant with makes like King Star and Elegant being two of the more popular brands.
Polyester is a synthetic thread and provides two important benefits
Threads are made up of fibres that are twisted together to form a single ply. Two or more (usually 2) of those single plies are then twisted together to make embroidery thread.
When thread is twisted too much during manufacture is is what we call an unballanced thread. What happens then is that the excess twist causes the thread to try and un-twist itself as it comes off the cone. Any loose thread can then twist up into a loop which then gets stuck in the thread eyelets or tension discs. It is a pain in the butt!
There are a couple of things that you can do:
1. Try using a thread colour that is less of a contrast
2. Use a fine embroidery thread like King Star fine thread