You're going to need some thread, of course! The
usual approach is to pick a brand/line and work with the whole range
of colors in that line. Quality does vary, and your machine may like
some threads better than others, so sample the different kinds of
threads available to you before you buy a whole bunch in one line.
Embroidery is typically done in rayon or polyester. Rayon has a
reputation for being shinier and prettier, while polyester is said
to be stronger and more colorfast. There are lots of specialty
threads you can use to embroider, too -- metallic, cotton,
variegated, glow-in-the-dark. Have fun experimenting!