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There are numerous considerations for choosing a pick: shape, size, thickness, tip, material/durability, and grip. There are also special picks, such as thumb and finger picks. My advice is to buy one each of a wide variety of picks. It might cost you $20-30 for this initial order, from which you may only find 2-3 that you like. But that's better than using a suboptimal pick. The ideal pick for you is based on your personal traits like how you grip the pick, how large your hand is, how hard you grip the pick, etc., as well as related to your gear, such as string gauge and tuning, or your playing style (mostly strumming vs. lead or riff playing). Picks will also impact tone, so that has a bearing on the one(s) you settle on.
I play [http://www.jimdunlop.com/product/john-petrucci-jazz-iii Dunlop John Petrucci Jazz III picks], and highly recommend them to others.
== Shape ==
== Thickness ==
I like thick picks, and I cannot lie. Most of the picks you'll randomly encounter are not pretty thin (.5 mm or smaller). In contrast, the JP Jazz III I like is 1.5 mm - over 3x as thick. Thickness affects how much you can dig into the string during your picking stroke. Remember from [[Basic Technique]] that from a technique-perspective, you can use pick angle, the location on the pick you hit the string with, and grip strength to vary this. Well, pick thickness will override all these aspects to some degree. As mentioned above, the more pressure you apply to the string through the pick, the more pressure the string applies back to your pick and to your hand. With a thick pick, you can tighten up your grip and push really hard against that string without it sliding off the pick. When it eventually does, you'll get a big "Biiinnnngg!". With a thin pick, it doesn't matter how tight your grip is - the pick itself will bend and the string will slide off of it before you can put too much pressure on it. So really, thick picks give you more control, but at the same time demand a bit better technique to get consistent dynamics. Thinner picks are often a bit easier for beginners, and also make strumming chords a bit easier. Thinner picks tend to be larger and factor into account that the bend of the pick will be part of the stroke. So you generally use more of the pick tip when you pick the strings, and this means a larger picking motion per note. Thus, thinner picks tend to be worse for speed playing, requiring larger and more dedicated strokes for each note, while smaller, thicker picks can get similar pop from the string with a smaller and faster stroke.
== Tip ==
The tip is the part of the pick you use to pluck the string. Generally, the only consideration is how sharp the tip is.
A sharp tip gives a slightly brighter (more chimey/metallic) tone, but the release as the string slides off the pick can feel a bit awkward. A very sharp tip gives you a bit more control - all the factors about your picking stroke have more impact. While a duller point is going to let the string slide off the tip once you've applied a certain amount of tension, a sharper tip lets you carry that a little further. Or you can loosen your grip to allow it to slide off.
I don't like a very sharp tip. I find it's more difficult to be consistent with timing and adds unnecessary requirements on picking technique for no real gain. I do like the tip to be a clear point, though. About as sharp as a ballpoint pen or plastic fork tip is where I like it. Also, unless you have a pick made from special material, that sharp tip is going to wear down fast, and you're left with a more standard tip, anyway.
A dull tip simply doesn't have enough control for me - I always feel like I'm sliding through each stroke, rather than being able to apply some real pop to accented notes.
Rather than go out and buy picks with all kinds of different tips, you can use a nail file to sharpen or dull a tip.
== Material/Durability ==