My favourite pick is a new Stubby 3mm, the only downside is that it wears down pretty quickly. Lately I've been using a Jazz iii, took a couple days to get comfortable with them. it's a brighter sound, and really cuts through the string smoothly. It's a on the lighter side for me, and for Gypsy rhythm style (le pompe) a heavier pick would be better. i need find a stubby equivalent that doesn't wear down. The Standard pick in Gypsy Jazz is the Wiggen 5mm, but they're stupid expensive.
I do want try some thick wooden picks. I have a thinner one (about 2mm), that's ok, but something around 4mm would be cool for the Gypsy Jazz stuff I think.
All the above is with my crazy thumpick "mod" obviously.