Why are picks important?
Guitar picks are very important. They are like the tires on your car-- they are the contact point between the driver and the instrument and they facilitate the function of the two together. You get in your car and drive it because you want to go somewhere, right? You pick up your guitar and play it because you want to make music, right? Tires and picks are the contact point of the function.
What are the options?
Guitar picks come in so many sizes, thicknesses, shapes, materials, textures, brands, and prices. There are even more exotic options: picks made of wood, stone, metal alloys, complex construction techniques, etc.
How do I find the best one?
The best way for you to find the right one is to buy a variety pack or assortment of the above variables, try all of them, and find the one that you like the best. That way, you only have one of each version that you don't like. When you find the one you like the most, buy a pack of those. The ideal variety option is going to have an assortment of brands as well, the only problem is that most brands aren't going to sell packs with picks made by other companies. The Dunlop variety pack has the best assortment of picks for any one brand, in my opinion. I just found a variety pack like this and shipped it to my guitar teaching studio in St. Paul Minnesota.
What should I avoid?
DON'T begin with a 20-pack of the same pick that you've never tried before. If it's not the best pick for you, that's money you could have spent finding something better.