I haven't had a chance to play yet, but after reading through Loose Threads there are a ton of concepts and mechanics that I'm really excited about.
Throughout the playset, the idea that 'Everything has a cost' and when you take a risk, 'the risk must always matter', sets the stage well and is supported by the mechanics. This has been brought up in many great games lately, and I'm glad to see it reinforced here.
A great example of this is including an 'Agenda' and a 'Cost' for each major NPC. It gives the GM clear guidance on how the NPC might be interacted with and an interesting hook to help make them matter in the story. There are no 'roll dice/recieve information' NPCs here!
The Tension mechanic immediatly adds depth to your character as a player and clear flags for creating scenes and adventures for GMs. It also gives players queues on how their characters are evolving over time.
One type of mechanic that I would like to see more of in other setting is a hook for exploration of the environment. Loose Threads provides this by adding a Secret to be discovered in each adventure when players visit the 'In-Between'. Uncovering the Secret cold benefit the characters, or make their lives more complicated, but either way it encourages them to take a closer look at everything around them.
Another cool thing I'm excited to see in play is the idea of taking a 'Favor' instead of a boost when succeeding with style. It sounds like this will naturally flesh out the setting and NPCs based on how awesome your character is in interacting with them.
'Solutions require sacrifice' is huge! It sounds like both a great way to spotlight a character's aspects or tension as well as a guaranteed crossroads to end the adventure on.
Looking forward to seeing how this all unfolds during play!