I use linen thread bought from Hobbycraft. It's available in a variety of colours (I tend to go for the brown one).
Buying it from Hobbycraft may not be the most cost-effective way of purchasing thread if you're planning on doing a lot of leatherwork, but for the occasional, hobby, leatherist (is that a word? It is now!) then it's convenient, readily-available, and inexpensive enough (I think it's a couple of quid for about 5m of the stuff - which lasts me a while).