One of the first things to ascertain is what thickness/gauge pick do you require?

Pictured - Dunlop Nylon .38mm Pick

Very light picks range from around .38mm to .50mm thick. With the plastic being so light and flexible,it flickers from one string to the next as you strum creating a percussive sound as you play. Heavier strumming is required to achieve a reasonable volume, especially when playing live. 

The thinnest pick available is the Dunlop .38mm Nylon Pick

Thin guitar picks are suited towards strumming acoustic players. You'll find it very difficult to solo with a thin pick. Not only will you lack the volume (acoustically) you need to cut through but you will also lack control due to the flexible nature of the pick.

Medium thickness picks are a lot more versatile in application. A medium gauge pick for acoustic and electric guitars will be around .60mm - .88mm. On the thinner end of the medium scale, you'll still achieve a percussive sound as you play, though it won't be so prominent in the acoustic mix. You'll notice that you have a lot more control over the volume when playing acoustically. Soloing is easier, as the reaction from the string when attacking it, is immediate. Electric players tend to use medium to heavy gauge picks for this very reason.

Really thick Pick - Dunlop 3mm Stubby

Heavy Picks are traditionally used by players who use heavier gauge strings, be it acoustic, electric or bass guitar. In guitar terms, a heavy pick is generally considered to be anything over 1mm, but there are many picks available (not just aimed at bass players) that go up to 3mm and beyond. Obviously, because bass strings are so thick, a suitably rigid pick is require to achieve a controlled result. Bass guitars are generally less processed and distorted than electric guitars and so you can audibly hear the difference between a bassist using his fingers to a pick. 'Speed players' also favour heavier picks for maximum control. 

Pictured - Dunlop 3mm Stubby Pick