There are many things you might want to consider when buying a guitar pick. As simple as it is, it's an important purchase.
Shape: There are generally three shapes of picks. The triangle, the teardrop, and that regular pick that is just a pick. The triangle is equilateral, providing three points from which to pick. This seems to boast reusability. The regular shape, nameless as it might be, resembles an inverted pear somewhat. It is the most common and nearly every manufacturer produces this shape of pick. The teardrop is somewhat derivative of the regular shape, but is slightly wider and has a blunter tip, perhaps preventing the pick from falling too deep in between strings. My preference is the teardrop shape, for heavy lead guitar work.
Size: This should be the first thing you consider when buying a pick. There are generally three sizes, although there are no standards, and in-betweens exist everywhere. The triangles are the largest, and because of this they are popular with bass players. The larger pick may be easier to handle with thicker, longer strings that are under greater tension. The usual inverse pear shaped picks do not vary in size, and they may be regarded as a standard of sorts. Teardrops, however, I have seen in two sizes. One size matches the pear picks, and the other size is miniaturized, which I find excellent for playing leads. Since the small pick forces the fingers to be close to the strings, there is little room for pick bending or lagging.
Thickness: Next to shape and size, thickness is the third most important factor in a guitar pick. As SgtCoolGuy's writeup explains, the thickness of the pick dictates what type of feel you will have playing. The reason is that when you strike the string with the pick, thin picks will bend more, and thick picks will not bend as much. This gives thin picks a slight delay when playing, or perhaps a sense of less urgency, and thick picks are more immediate, lending definition to the note attack. Thus, thinner picks are for the gentle styles of soft chord strumming, and the thicker picks allow faster playing, more aggressive technique, and as SgtCoolGuy says, thicker picks are excellent for playing one note at a time.
Durability: Another very important factor! How fast will your pick's point wear down? After a month? A week? Two days? For picky players such as me, the durability of the pick is critical. Durability is influenced by the material used to fashion the pick. Gibson picks are among the worst, sorry Gibson. I have bought Gibson picks, and they cannot withstand the rhythm guitarwork of two consecutive Metallica songs. Then again, neither can my mother. My favourite picks are Jim Dunlop picks. While their Tortex picks are the absolute toughest I have ever come across, taking weeks or months for the point to wear down, the non-tortex picks such as the Jazz series and the Stubby series have excellent lifetime and durability.
Smoothness: This one might be easily overlooked, but it is important. If a pick is too smooth, the player may get sweaty, and the pick could slip out of the hand. I have had this problem with Gibson picks. Dunlop Tortex picks, on the other hand, have a strange rough texture to them that is very comfortable to hold. Let it be said that the smoothness of the pick will affect not only the hold, but also the sound of the guitar. Dunlop's rougher Tortex picks scrape the strings, and with the right pickups and amplifiers, create an excellent crunch for metal rhythm guitar. Smooth picks on the other hand, will slide across the strings more quickly, and the attack will be shorter and more defined as the pick escapes from the string with little notice.
Specialty Picks: Beware the empty treasures! There are special picks that promise wonderful things, like the DAVA pick with a thin section in the middle of it. This makes it bendy, almost giving it a joint so that if you hold it above the joint, the joint should bend making the pick soft, and if you hold it below the joint, there should be no joint making the pick hard. It sounds like a promising concept but in my experience has only made my playing sloppy. I have also noticed picks with metal tips. I will not buy those, they're a scam. I will not try those, here I am. I will not eat green eggs and ham.
Colour: Come now, a pink guitar pick is absolutely necessary! Just kidding.
So there you have it! Go buy some picks now. My preference of pick has always been changing, though I think it is stabilizing nowadays. I play metal rhythm and lead, and the picks I prefer to use are the Dunlop Jazz 3, which is red, and the Dunlop Stubby 2.0 mm, which is transparent purple. Neither are tortex but they're pretty tough.
One final note: When you find the pick you like, you will buy in bulk, and realize you don't like the pick anymore, and you will have 100 or so plastic flickies in a plastic bag somewhere.
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