I've actually heard the opposite to what Slipin said. For me it's heavier picks and thicker strings for faster picking. Heavier picks just seem "tighter" and more responsive to me. You don't get that "floppy" feeling when playing.

I use Jazz III's primarily (1.14mm). Lots of metal players use them.

The green dunlop tortex picks (.88mm) are my second go to picks. I think these are pretty much the "standard" of this size pick that people use.

Then the yellow ones (.73). If I remember, Buckethead uses these. I use lighter strings for strumming stuff.

There are always general rules of thumb, but at the end of the day, whatever feels best to you is the right pick.