We cannot use the same thread and thickness for all our work. Well, we can, if we are only working with one kind of things. But in my case, I go from making an axe-sheath that requires a thicker and sturdier thread to small leather goods which would look too clumsy using the same thread.
So we have to choose the right thread for the specific project. Below are a few that I use.

Ritza Tiger
Like many of us, we started out using one of the most popular thread for leatherwork: The waxed flat braided poly thread Tiger Ritza. They come in a variety of colours and thicknesses. The most common are 0.8 and 0.6 mm.
You can also choose between two different coatings: waxed (Ritza 25) or silicone (Ritza 44). The latter’s benefit is that you can use it in a sewing machine as far as I know. I have not tested this myself, though.
The thicker one usually come in a 500m roll, the 0.6 generally come in a 1000m roll.

Vinymo MBT #5
Vinymo MBT is a unique, bonded, non-lubricated thread for leatherworking that works very well for hand sewing and machine sewing. The strands are tight and internally bonded. The thread pulls through the leather extremely smoothly and results in a strong stitch, even without waxing. Though a light coat of wax is recommended beforehand stitching.

MeiSi Xiange Twist
This is MeiSi Xiange braided thread. It is synthetic and comes in a variety of thickness and colors. Very nice!
I have various sizes: 0.45, 0.52, 0.60mm.

This is more or less a generic polyester thread from China. I haven’t used it much yet, but so far it feels ok.
I have the 0.65mm version.