The type of guitar picks you use can have as direct an effect on your playing technique and your sound as much as any other piece of gear you own. Although sometimes guitar players tend to overestimate the value of a pick (thinking they can have a "magic" effect on one's playing), it's true that even professional guitarists will tend to swear by a particular style or brand of pick. Guitarists also tend to be a loyal bunch when it comes to items like picks and strings, so let's talk a bit about why picks are so important so you can find the pick or picks that work best for you.
Choosing the right (or wrong) pick can have a serious effect on both your technique and your sound. Fortunately, guitar picks are cheap enough that you can buy and try out numerous picks to see which one works best for you. Don’t think that you have to choose just one pick and stick with it. You don’t. For example, there are picks that I prefer for acoustic guitar and others that I prefer for electric guitar. And even for my electric guitar work I have roughly three different picks at present that I use depending on the situation (or my mood).
I like the Dunlop Jazz III and have different “models” that I might use at any given moment. I’m also fond of Dava picks, and I use those regularly. Honestly, the playing situation might affect my choice as well. If I’m practicing I might use one pick whereas if I’m recording I might choose another. And if I’m playing a gig where I might be nervous (read: sweating), I’m likely to use a pick that will give me more “traction” for the given situation. In short, don’t be afraid to choose a different pick depending on the need you have at the time.
This is probably stating the obvious, but the type of material that your pick is made of will affect the sound significantly. Players prefer different types of materials for different reasons, though. Some materials - such as acetal - are a very “slippery” substance and will help the pick “glide” over the strings. There are companies such as V-Picks that use acrylic which allows them to produce a wide range of picks that resists sweat and they claim helps the picks “stick” to a players hand. Nylon is a common choice for many players who are trying to get a “vintage” tone, though nylon generally won’t stand up to rigorous playing for very long.
For most players, a variation on plastic picks are the most common choice of material, given the flexibility and relatively low cost. Some “boutique” pick makers will produce picks made from exotic materials such as wood, though wood generally doesn’t last long (its tone is preferred by some players though). You can even buy picks that are made from metal, which will have a very bright tone, but will affect string longevity. Some players (Billy Gibbons, for example) will use a coin, such as a peso or a quarter, to achieve a signature tone. Queen guitarist Brian May long used a sixpence for a pick (at least he always knew how much his picks would cost, right?).
Guitar picks also come in a wide range of sizes. There are picks that are small and tear shaped and can barely be seen when you’re playing while other picks are larger and more triangular in shape. The size of the pick may also be determined by your style of music or playing technique. For example, a lead guitarist may prefer a smaller pick such as a Dunlop Jazz III (one of the most common sizes as well as common shapes available) while someone who is primarily a rhythm player may prefer a larger pick. The size may also depend upon where you’re playing. If you regularly gig in an environment with hot stage lights you might prefer a pick that you won’t drop easily once you start sweating, but then again, the material of the pick may play as big a role in holding onto the pick as the size does.
Like material and size, the thickness of a pick contributes greatly to a player’s tone and technique. Lead guitarists tend to prefer thicker picks since there is less “give” when the pick strikes the string. Someone who plays primarily rhythm guitar (especially strummed chords) may prefer a lighter pick for both the feel and the tone.
Ultimately, the type of pick you choose is a very personal choice. Fortunately, most picks are inexpensive enough that you can buy several and experiment to find out which one is best for you.