Just like needles, threads are designed for different applications. The list includes embroidery, invisible, metallic, top stitching, buttonhole, denim, leather, upholstery, elastic, serger, quilting, bobbin (plus whatever I left out!) and the most commonly used thread, the all purpose variety. They are made from different fibers, too- cotton, silk, rayon, and polyester being the most common.
A Rule of Thumb- if you are doing something named on the thread spool, that thread will probably do a better job for you. For example, top stitching thread used with a top stitching needle produces a stitch line made to be seen in a beautiful way. Done with all purpose thread and needle, the same stitching blends into the garment. Upholstery, leather, and buttonhole threads are much heavier than all purpose thread. Embroidery thread has body and luster. Bobbin thread is thin and lightweight, designed to eliminate bulk on the back of an embroidered piece. Hem your jeans with a heavy needle (size 16 or 18) and jeans thread (I have it in 2 colors, denim and orange) for a ready to wear look. Also, using the wrong thread and needle type may cause your machine to stitch improperly. Make choosing the right thread part of your project planning process- you will be surprised how much better your work looks!