Mark,
You can buy fly tying thread at any fly shop or large sporting goods dealer that has a fly tying section. Uni thread 3/0 'big fly' is a twisted nylon thread intneded for large flies where more tension is needed (it's 'thicker', thus 'stronger').
For the smaller gurglers and gurgler pops you'll likely want thinner thread than 3/0. 6/0 is a good all around thread size. Uni thread is available in many sizes.
For Gurglers and stuff I tend to use monofilament sewing thread that's available at craft/sewing shops, even Wally world. It looks like thin fishing line, comes on thread spools, and is inexpensive. It comes in two diameters, .004 and .005, and two 'colors', clear and 'dark' (smoke).
If you are just starting out, and don't have a fly shop handy, some of the big mail order houses like Cabelas sell thread in 'kit's or 'assortments', usually one size in several of the most popular colors. A 6/0 assortment would be a good starting point.
In a pinch (you don't have a fly shop near you and don't want to wait to tie until you get somethig from a mail order catalog), you can hit a sewing store and look at the NYLON threads they have. Stay away from the cotton/rayon/polyester threads, as they tend to fray. Buy the thinnest nylon thread, and it should work fine for your gurglers. They will have hundreds of colors, pick the one you like or feel you need (thread color on such a fly won't mater to the fish-generally we select thread that 'matches' the bulk of the fly because it looks nice).
Generally, fly tying thread comes with a bit of wax on it, which makes it easier to handle and helps with other areas like dubing and such. Sewing threads won't have this. Also, fly tying threads come thinner, which is desirable on smaller flies. For these reasons, you really want to get fly tying thread if you can.
Good Luck!
Buddy
It Just Doesn't Matter....