Apple has always had strict certifications for their iPhone cables, and companies have to meet these requirements to be able to legitimately put the "Made for iPhone" branding on their packages. However things aren't so cut and dry with USB-C (aka Thunderbolt 3), and there's a lot more at risk.
Benson Leung, an engineer at Google, has taken it upon himself to review a number of USB-C chargers and cables on the market, and he's found that a disturbingly high percentage of them are made in such a way that they can destroy your gadgets (and he has actually has blown up a few unintentionally during his testing). That's bad enough with an iPhone, but a real tragedy if it happens to your $3,000 MacBook Pro.
Leung has found that devices from some well known manufacturers (including Anker and (gasp) my beloved Monoprice) don't meet spec and could be risky to use. And as I've noted previously, buying an Apple branded device can be sketchy since 99% of the "genuine Apple" accessories sold on Amazon were fakes. USB-C Cables that are USB-IF certified should be safe, but that's only if the manufacturer hasn't lied about that certification.
Your best bet is to go to Apple and buy one directly from them. If you want to save some dough (who doesn't?), here's a spreadsheet created by bmcclure937 on Reddit that has a listing of many of the various cables Leung has reviewed along with their type, cost, and whether they're up to spec or not.
Be sure to read the fine print carefully for any cable you purchase—some cables (such as some models of the Palette series from Monoprice) don't support data, and are only good for charging.