I'm in the process of changing picks. "What?" you think... "why would anyone worry about something as little as that?"
It makes a difference. The material, the shape, the edge of whatever strikes the string affects the tone and even what you can or cannot play. The little things are important.
I used to play with just my nails most of the time. I'm not a stereotypical fingerstyle player. I don't have the grace and touch that many of them have. Often, I used my nails, especially my index finger, almost like flatpicks. Occasionally, when I broke a nail, I would get an artificial nail applied at the nail salon and liked the sound and feel of the false nail but didn't like what it did to my natural nail or what happened when it was getting to the end of its life and began to catch the string on the trailing edge of the nail. OUCH! So as quickly as possible, I'd try to get back to my natural nail. And that worked OK. I tried fingerpicks and they just don't work and I considered just going to artificial nails as a permanent solution but didn't want to go there...
Then we moved to CA and I found myself playing electric guitar. The strings are much thinner and did terrible things to my nails so I went to a flatpick. Unfortunately, I hold the flatpick very close to the tip and my index finger nail hits the strings along with the pick... which damages that nail even more. So I began using a flatpick on acoustic as well most of the time... which just exacerbates the chips that I get from using the flatpick. So I've been using flatpicks... only they come in scores of sizes, shapes, and materials.
The holy grail of picks is made from real tortoise shell. Of course, it is illegal and immoral so I don't have any of them and never will. Word is that they sound amazing and are the best feel of any pick. Many modern pick companies are trying to replicate that sound and feel without killing sea turtles for the material.
When I used to play electric, I used these wonderful little ivory or bone picks that were made from the tops of old piano keys. They sound very organic and feel good but they are hard to find, break, and can be expensive. And of course, ivory has its own issues of legality and morality. I still have a few and I have a few bone blanks from old piano keys... I may end up going back to them.
I really like the V picks on electric guitar. I love the way they slide through the string and the fat solid pick just feels right in my hand. At $4 they're expensive compared to the $.25 pick you get at the local Best Buy but not compared to some of the other picks out there. I tried them on acoustic and they're OK... but the make a funny chirping sound as they wear so on to something else for acoustic.
I'm waiting for an order of Wegen picks. I've heard good things about them... that they approach the sound and feel of tortoise shell. I'm hoping they work well. We'll see. At about the same price as the V pick, I can easily justify a bunch of them.
There are a couple of companies out there making expensive picks. Blue Chip & Red Bear are the most visible right now and both are generating a lot of buzz and lots of true believers. At $20 for a Red Bear and $35 for a Blue Chip, they aren't throw away picks... but if they do what they say, maybe they're worth it. One of these days I'll order at least one of each. And of course, if I like them, I'll need two for each guitar case...
I could tell you that each material and even the shape of a pick change the sound of your playing and the way you play and I would be telling you the truth. There is more to it though... it is the small things that, added together, make up our lives. It is the little details, the little acts, the daily habits, that make us who we are. So, as I search for the right pick... I'm thinking of it as a metaphor for my life. Each day I make hundreds of small choices, many of them unconsciously, all of which affect the melody that is my life. They dictate who I will be and even who I can be. The little things matter.