For many locks it comes down to a matter of preference.
For some locks, though, you'll find that certain picks simply don't work: they're either too large to navigate past the warding of the keyway, or they're not shaped properly to manipulate the pins in the manner that you'd like. This can be a particular problem when you have a lock that's keyed with extreme "high/low" pin combinations (for example, a "high" pin surrounded by a pair of "low" ones)... a small hook, a small diamond (or even too large a diamond) may not be the right size to push the "high" pin up high enough without disturbing the neighbouring "low" pins.
Personal preference certainly plays into it... but it's for some of the reasons like those that picks come in a variety of styles/sizes. I certainly haven't found one "perfect" pick for me, and on particularly difficult locks will sometimes switch between two or three different picks as I start to discover how the pins are setting.
Hope that helps a little.
