Which Embroidery Thread?

There are SEWW many choices: Sulky, Mettler, Isacord, Robinson Anton, Madeira, etc etc. When I first started machine embroidering I only had 1 resource that sold Sulky so I have been using that since. I have a gazillion spools in beautiful colors, but I can't help wondering how may results would look with another choice. Just about all files I buy have been digitized using another band. Of course, there are several good thread converters that I can use; i.e. Sulky Thread Conversion, Embroidery Library Thread Exchange. But why is everyone using alternate threads?

A couple of days ago I was reading an article about embroidering lace. That resource highly recommended using Coats and Clark 30 and 35 wt. cotton thread, labeled as Mercerized ELS Cotton for Machine Quilting & Cradts; Machine Quilting or All Purpose. I have not tried it but it seems to me that you would lose the pretty sheen that comes with actual embroidery thread. I have never sewn Battenburg lace, but apparently, the stitches are more delicate and regular embroidery thread just doesn't cut it. Something else to experiment with.