In my opinion threads aren't the most efficient way of doing socket connections but they do provide the most functionality in terms of running threads. I say that because from experience, running threads for a long time causes devices to be very hot and resource intensive. Even a simple while(true) will heat a phone in minutes. If you say that UI interaction is not important, perhaps an AsyncTask is good because they are designed for long-term processes. This is just my opinion on it.
UPDATE
Please disregard my above answer! I answered this question back in 2011 when I was far less experienced in Android than I am now. My answer above is misleading and is considered wrong. I'm leaving it there because many people commented on it below correcting me, and I've learned my lesson.
There are far better other answers on this thread, but I will at least give me more proper answer. There is nothing wrong with using a regular Java Thread; however, you should really be careful about how you implement it because doing it wrong can be very processor intensive (most notable symptom can be your device heating up). AsyncTasks are pretty ideal for most tasks that you want to run in the background (common examples are disk I/O, network calls, and database calls). However, AsyncTasks shouldn't be used for particularly long processes that may need to continue after the user has closed your app or put their device to standby. I would say for most cases, anything that doesn't belong in the UI thread, can be taken care of in an AsyncTask.
