Material - Different materials offer differing degrees of physical flexibility and density.  I don't play with any metal picks, but plastics picks are not all made the same.  Nylon is almost rubbery, while other materials (possibly PVC or polycarbonate) are harder and yield a brighter sound.  The larger the string guage and the more demanding the instrument in terms of playing, the harder the pick should be.

Edges - The thicker the pick, the more rounded the edges have to be.  I like them to move across the strings smoothly so I don't feel like I'm fighting against them.

Shape - I prefer traditionally-shaped picks.  No triangles or stylized shapes.

Size - I don't like very large picks, but they shouldn't be too small either.

Color - This seems incredibly shallow, and yet I think that if I spend a significant amount of money getting a guitar with the right color finish, I should probably have a pick that complements rather than clashes with it.

Fender Stratocaster (black) - Red medium nylon pick.  It's a very easy guitar to play, so I have been using the same two or three picks with this guitar (and a few others) almost since I first bought it back in the early '90s.  The picks are soft and bendy.  They have a lot of give.

Squire Stratocaster (red) - I often use one of the picks mentioned above simply because those traditionally tend to go with my most-played guitars.  This is one of them.  However, it sounds better with a slightly harder pick, so it varies what I use.

Fender Telecaster (butterscotch) - Black pick.  This one matches the pickguard.  I use a hard pick to get a brighter tone and snap out of the guitar.

EVH Frankenstrat - Black pick.  Admittedly, this guitar is really more for show than actually one I play.  It's wired up and everything, but I never liked the feel of it.  I'm not much of an EVH fan anymore anyway owing to his inability to get his life and music together.  The black pick looks good on the guitar though.

EBMM Axis (green) - White (alien) pick.  I used to have a series of three picks with "grey" aliens on them; one each of white, black, and red.  Don't know where they came from, but the white one went on this and the red on the sister guitar to this.

Career Axis copy - Red (alien) pick.  As stated above, this made for a matched set.  They were all medium-hard material, which worked for heavier music.

Ibanez RG350 - Black (alien) pick.  This third pick started out on the Gretsch Hot Rod, but it worked better for this guitar.

Godin LGX-SA - Black pick.  I usually use something hard with this guitar, not so much because of the style of music, but rather so that the attack is pretty strong every time, thus giving the guitar synth the most signal to work with.  Synths don't detect dynamics very well, so crisp and clear is the way to go.

Gitane D-500 - Small extra-thick black pick.  Gypsy players use very thick and very hard picks.  Without resorting to buying expensive picks made of exotic materials, I went with this one.  It's smaller than I would like, but it is very thick with rounded edges, making it strong enough to get a good sound, but it also slips right across the strings to keep you playing fast.

D'Angelico NYL-2 - Thick black pick.  Good-looking and strong enough to play against the thick strings I have on here.

Aria Pro II - Black pick.  I don't use an especially heavy pick with this guitar even though it has nearly the same strings on it as the D'Angelico, but it's an easier guitar to play.

Steinberger GM4S - Red medium nylon pick.  I use one of the same picks as on the Black Strat (above).  It's an easy guitar to play, and the active pickups plus the SPC preamp boosts the signal so much that I have to play softly to keep clean patches from distorting.  Soft picks help with that.

Steinberger GU (green) - White pick.  No real reason.  It just looks good.

Steinberger Spirit (white) - Red pick.  I just think the red looks good on a guitar that doesn't have any red on it.  It's like a rose on a tuxedo.  It's just a medium pick.

Epiphone Goldtop Les Paul - Black pick.  This is a very easy guitar to play, so it's a light to medium pick.  I couldn't think what other color to use here since everything else clashed with the gold.

Epiphone Les Paul Standard (blue) - Black pick.  Again black worked best.  I didn't want anything that distracted from the top.

Epiphone Les Paul (amber w/SD59s) - Yellow pick.  This sort of matched the top too.  It's also a very easy-playing guitar, so this thin pick works fine.  It's something I picked up from a local music store while trying out their guitars.

Gretsch Duo Jet G6128T-1957 - Red pick.  I think the tuxedo analogy made above is even more apt here.  I have relatively heavy strings on this guitar still (the lower three are the ones that came with it; I had to change the top three (GBe) to something lighter in order to bend them), so I use a harder pick.

Gretsch Roc Jet 1910 - Transparent purple pick.  I went to LSU, so this seemed like a good color combination, even though I'm not big on advertising my alma mater.  The strings are probably too light to go with a pick this hard, but I don't play this guitar all that much anyway.

Gretsch 6120-1960 - Orange medium pick.  I have no idea where this pick came from.  It's a bit lighter than I would like considering the heavier gauge strings I have on here now, but the color is an almost perfect match for the guitar.  I wouldn't normally do that, but this is the exception.

Gretsch Hot Rod (purple) - Mother of Toilet Seat thin pick.  Or a black one.  In contrast to the 6120, I have a light set of strings on here, and so a thin pick works well.  I just happened to have a "Mother of Toilet Seat" pick that looked good with this guitar and was light enough to work well with the strings as well.

blue = light
red = medium
black = heavy