I didn't know about picks for a long time. Actually, if somebody told me that picks affect the sound, I would laugh at him. Back then we discussed guitars, amps and effects when talking about tone, but PICKS? For a long time I used big triangle picks that had three tips in different gauges. Sounds clever, but those were the most awful picks I ever played.
When I got into my SRV phase (strat, light top/heavy bottom strings, tube screamer and all) I played the largest and heaviest picks I could find, because I thought that's the way to big sound. Also I tried to pick real hard and I felt that I could hold the large picks better.
After that I had a few private lessons and my teacher made me use red Dunlop Jazz III's. That was hard at first because they were so small compared to what I used before. But exactly that taught me a lot about precision, timing and control. It forced me to lighten up my touch a bit, which gave me wider range of dynamics. Now I can't play anything else, no matter how hard I try. (Excepetion: Every once in a while, I'll use a very thin grey Dunlop Nylon pick when I strum an acoustic in the studio).
The material, the size, the gauge and the shape of the tip are just perfect to give me a fat, yet dry attack and I can really control my tone from ultralight to really digging into it. Even the black Jaz III's sound a little different to me, cause they are made from a different material. And if you lose one of the red ones, chances are you'll find it back on a dark & dirty stage or rehearsal room floor ;-)
But actually, I try to play with my bare fingers more and more, because THAT'S actually the best sound you can get ...
The blues don't depress me. It gives me a feeling of relief, of "Thank God, I am not alone" (Eric Clapton)