I'm going to say that 99% of all flies I tie are with Danville flat wax nylon. Specifically in black. I just ordered 22 roles of the stuff from ebay and can't wait to start tying with it. Go to http://parkerflies.com/ to get some yourself.
Take a look at my flies and tell me I don't use this stuff http://robsnowhite.com/consulting/customflies.html
I ordered black so I can make thread midges, tie my Snowhite Hellgrammite, damsel nymphs, pheasant tails, popsicle flies and what ever else. The green will be used on my green scorpion bugs and the chartreuse on the chartreuse scorpion bugs. I don't really care what color I use on the patterns but some people like the color of the thread to match the body material.
The thread comes in 100 yard spools and each can last me quite a while.
Pick up a spool at your local fly shop or online and tell me what you think. Unless you are tying non thread midges I think you'll do quite well.