Someone experienced with a bead loom, please?

I use strong polycotton or nylon sewing thread. It's cheap and easy to come by, and provided it passes the 'tug test' (put a fair bit of tension on it, then give it a sharp yank - if it breaks easily, it fails, it it breaks with difficulty or not at all, it's fine), it works nicely. It also comes in so many different colours that it's possible to find the right colour for any project, even though it won't show much in the finished project. Synthetic fibres don't decay much, unlike cotton, so they tend to last quite a while.

I personally like to use a black non fray stiffened thread because it doesn't tangle, you can see it easily while working and unless your design is predominantly very pale pastel colors you cannot see it in the finished piece. Monofilament works fine but do use a colored variety as work with the clear stuff is headache inducing because you have to go by feel. Also make sure you use a material guaranteed not to decay, it is so annoying when the item you've put so much painstaking work into falls apart because of thread decay.