Some clothing is sewn with cotton thread, and some with synthetic thread. The advantage of cotton thread is that when you dye a cotton garment sewn with cotton thread into a solid color, the thread dyes just like the fabric and doesn't stand out. On the other hand, since cotton dyes will not dye synthetic thread, synthetic thread remains white and if the stitching is visible, it can look odd. The reason why most clothing is sewn with synthetic thread is that cotton thread is not as strong as synthetic thread and doesn't hold up as well through repeated washings. It's also harder for production sewers (people who sew, not sewage!) to use as it tends to break more often and slows down production. Unless you are dyeing solid colors, it's questionable whether the thread matters. In tie-dye or painting it really seems to make little difference. We have lots of our clothing sewn with cotton thread.
Look for the cotton thread symbol. Some items are sewn with synthetic thread. Usually it says in the catalog. Ask if it's important to you.