The information below comes, with thanks, from Craftfocus.  I provide it here on good faith, but I have not verified the information nor take responsibility that it is correct.

Fibre Materials Glossary

Embroidery thread is yarn that is manufactured or hand-spun specifically for embroidery and other forms of needlework.  Here's a run-down on the different types available.

Broder Medici or Medici -- a fine, light weight wool thread. 

Cotten floss -- the standard thread for cross-stitch.

Crewel Yarn -- a fine, 2-ply yarn of wool or, less often, a wool-like acrylic. 

Embroidery floss or Stranded Cotton -- a loosely twisted, slightly glossy 6-stranded thread, usually of cotten but also manufactured in silk, linen and rayon.

French Coton a Broder or Matte Embroidery Cotton -- a matte-finish (not glossy) twisted 5-ply thread. 

French Coton PerlePearl Cotton or Perle Cotton -- an S-twisted, 2-ply thread with high sheen, sold in five sizes of weights (Numbers 3, 5, 8, 12 and 16 (Finca), with 3 being the heaviest and 16 the finest).

Persian yarn -- a loosely twisted, 3-strand yarn of wool or acrylic often used for needlepoint. 

Tapestry Wool or Tapestry Yarn -- a tightly twisted, 4-ply yarn.

Threads for Machine Embroidery -- usually of ployester or rayon, less often of cotton or silk.