When i started playing guitars, i tried everything imaginable thickness from different brands and make. i even tried making one from a plastic orion ruler but didn't like it though.
Using a thicker pick, a D'Andrea 1.21mm, initially i felt its a little bit getting used to it especially in attacking the strings so normally i resort to medium (.71mm) or hard from other brands.
Later, i tried again a 1.5mm locally available and got used to it. My only gripe is the material that was used. Its from a recycled plastic i think and it doesn't last long.
Anyways, a JAZZ III from Jim Dunlop is also good, D' Andrea Celluloid is another, and so is the DADI 3mm.
As an answer to the above question, i use whatever i feel i am comfortable with
. Thicker picks = shredding, thin/medium picks = strumming