Best type of thread/string to make a bracelet?

I want to make a simple braided bracelet/anklet. My friend made me one almost a year ago and it is still on my wrist after all that time surviving through daily activities and such. I tried looking at Wal Mart for the same basic type of thread, but I couldn't really find anything. I found something like crocheting thread that seemed close but I didn't want to buy such a big thing of it. So based on this information what would you recommend? I do not want to you hemp or anything like it, I want something soft and comfortable and durable. Thanks. Oh and if you could tell me where to find the item(s) you tell me about that would be awesome too :]