You will eventually need a variety of needles for your embroidery machine. But to start, be sure to have plenty of Machine Embroidery needles in size 75/11.
See below for more details on needles.
Simthread sells polyester sets of thread on Amazon. You get a decent quality of thread at a good price with pretty colors.
This kit sold on Amazon has everything you need to get started with a new Embroidery Machine.