Of the three main factors mentioned above, let's talk about shape first. Standard picks are the most common type: they have a pleasant point to help produce a mellow tone yet they're also just thick enough to ensure a strong grip. You'll come across more than enough Standard picks in this catalog from the likes of Dunlop, Fender and Everly. Other common pick shapes include Teardrop and Jazz (both are favored for their quick response and bright sound); and Triangle (which are very easy to hold). You'll even find picks that can be worn over your thumb, including the National Picks Large White Thumb Picks 1-Dozen.
Another important pick factor to consider is the material it's made from. While the most popular are plastic picks (usually celluloid), some are made of synthetic tortoise shell-like materials such as Tortex and Delrex. Nylon is another common material type, which is preferred for its durability and affordability. Need a suggestion? Check out the Dunlop Nylon Standard Guitar Pick: one of the highest-rated items in this section.
Honestly, your best bet is to try out a variety of pick types to see what you feel most comfortable with. In addition to material and shape, you'll want to consider the pick's thickness: thinner picks are more flexible (making them ideal for strumming guitarists) while thicker picks are more solid so they're naturally better for playing scales. It's also for this reason why bass picks are so chunky (so they can handle the instrument's thick strings). There are many other materials and shapes to choose from here as well, so be sure to research each of your pick options thoroughly.