I hardly ever use finger or thumb picks, however, when I do I like them to feel as natural as possible. The finger picks that I prefer are the ones that come to a bit of a point at the end. When I get them adjusted just right I can feel the string with my finger while using these picks.
The thumb pick that I like best is one that has two little slits, one on either side of the part that strikes the string. The part that actually strikes the string is only about 3/16 of an inch wide. The advantage is that the pick stays put (without being overly tight) and, you can also feel the pressure of the string on your thumb.