Depending on where you're located, it's worth getting something like the Dunlop Tortex mix pack. You'll get ~6 different thicknesses ranging from .50 - 1.15. They also make a bigger 'variety pack' with like 15-20 different picks so you can really experiment.
The other factor is obviously the overall shape/dimension. I don't play with a pick super often, but I prefer the larger triangle picks over the standard or jazz picks. Point being, it's a lot to do with personal preference, comfort, feel, and the sound/response you want. For example, if you're doing heavier stuff with lots of down-picking you may favor something beefier. On the other hand, I like the .6-.8 gauge picks for more bouncy, melodic feeling lines. Check this out for a good example of what a sub-1.0 mm can do...