There are numerous factors which contribute to a guitarist's sound: guitar, strings, pickups the amp, effects, etc. However, it's the pick (or plectrum) that produces the initial attack which generates the sound. It is often overlooked, perhaps due to it's size and low cost, when guitarists look for ways to vary their tone. Experimenting with different types of picks is cheapest and easiest way for a guitarist to achieve a varied sound.
Personal preference, comfort & musical style is a big influencing factor when a guitarist chooses which pick to use. Rhythm guitarists and guitarists who do a lot of strumming often favour thin picks. Lead guitarists typically prefer thicker picks which give a feeling of control and accuracy. Every material used for picks will have different molecular properties and densities which means that they will interact with the string differently
Picks come in a variety of shapes & sizes but the vast majority come in the "tear-drop" format. The thickness of the pick and the material have a significant effect on the overall sound.
Thick or Thin?
Thin picks (anything less than about 0.5mm) produce a sound which is noticeably different to that of a heavy one. They tend to give the guitarist a brighter sound with accentuated overtones but will be result in less depth. The sound will be softer and the dynamics will also be a little more controlled or "flatter" with thinner pick. Thinner picks are best suited for acoustic guitar playing, especially when one is doing mostly strumming!
Heavy or thick picks will produce more volume and to some extent, a fuller tone. More dynamics are possible with a thicker pick and these are favoured by most jazz guitarists search for a richer tone. Heavy picks are those which measure at least 1.5 millimetres in thickness and are good for loudness, deeper bass, durability and accuracy. However, beginners will find that these are difficult to grip and increase the likelihood of broken strings.
Some players prefer to stick with a general all-purpose medium gauge pick such as the Dunlop USA Nylon 73mm. They provide great grip, are almost indestructible and deliver a good balanced sound in volume and tone. These are the ideal choice for acoustic guitar players.
Manmade or Natural?
The most common modern-day materials for guitar picks are plastic, nylon, Tortex (introduced by Jim Dunlop) and more recently, Ultem / Ultex which provide a good manmade alternative to tortoise shell. These picks are cheap, durable and also less likely to damage the guitar than metal, glass, stone or wooden picks. However, guitar picks are also available in a wide range of natural materials, and each with its own tonal character. Many professional guitarists use hardwood guitar picks which have a deep, rich, resonant tone and are responsive to the strings. Others use metal picks and Brian May used a coin!
In Search of the Perfect Pick
For those starting to learn guitar, a good choice would be a "plain vanilla" medium pick such as the Jim Dunlop .73mm Nylon. This offers an acceptable compromise for strumming and lead work. After a few months, you can begin to look at some alternatives.
Don't just use a particular pick because your favourite player also uses them. The pick connects your hand with your guitar. Your fingers & hands are unique, and the way in which you attack the strings with your strumming and picking techniques may differ to other guitarists. For this reason, you need to experiment and find out which pick gives you the most comfort and desired tone. However, even when you find one that works well, try new picks from time to time because you might be surprised to find one that's even better! Also, bear in mind that when playing classical guitar, you should learn to play "finger style" to achieve an authentic classical sound.
The ultimate goal is to find and use the most appropriate pick. The experienced guitarist learns to use different picks in the same way that a great artist distinguishes between different paint brushes.