The shape of the pick also has some importance; a standard shape pick has a rounded tip and is a good all purpose pick shape. Picks that are smaller or that have a sharp V tip like a Dunlop Jazz 11 or Jazz 111 are great to use for lead playing and can help to generate more speed.
The texture of a pick also can effect your playing there are two types of picks water based and oil based. Oil based is the shinny picks and for some people they tend to slip around in their fingers. Water based picks have a flat dull appearance and when your finger sweats a bit it absorbs the moisture and allows you to keep a good grip on the pick, they even start to mold into your finger grip after a while but unfortunately by that time they start to wear out.
You may want to look for a brand of pick that has a little bit of a texture to it. If a pick is glossy and completely smooth, you may have trouble hanging on to it. Especially if your hand sweats. The pick will just slide around between your fingers. Another option is to take a piece of fine sand paper, and "rough up" your picks a little. This will give you a little more grip on the pick.
My suggestion is to have a supply of picks in different shapes and thicknesses with you at all times experiment with them for different applications and see what you think sounds best.