I have worn both thin and thick strings on my tallitot ketanot, however, I will soon need to get new strings, so I wonder which is better, I have heard that thick lasts longer, but I have seen wear on my tallit katan which goes to the contrary. Furthermore, as I wear my tzitziot tucked-in, according to the German minhag, there is no issue of æsthetics.
Another factor for some people is that thick is a bit easier to tie -- for me, at least.
For those of you who are debating between thin and thick, you can also find medium thickness online. For a long time this was very hard to find outside of Geula (the frum shopping district in Jerusalem), and even there it was a bit scarce: one company was somewhat expensive and the other one was quite close to thin, but labeled medium ("beinoni").
About a month ago Mishkan Hatchelet finally started making medium thickness tzitzit. In fact, they even make it in different lengths (55 cm, 65 cm) and even offer it in a niputz lishmah version.
On my webstore we offer medium thickness tzitzit as an option on most of our products, including tallis katan and tallis gadol.
The Shulchan Aruch poskens that your tzitzit strings should not be too thin or too thick, but I once asked a rav and he agreed with me that back then tzitzit production was much cruder than it is today, and all tzitzit sold today meet the description of not too thin, not too thick.
I prefer thick tzitzis since they don't rip if they get caught in something like a chair, seatbelt, etc. This has happened to me in the past and sometimes results in having a pasul tzitzis.
However, since you wear your tzitzis under your shirt (like the old European minhag) your tztitzis are probably not at risk of getting torn. The thinner tzitzis are a bit less bulky and possibly a bit more comfortable.
I also preferred thick tzitziot although I wear the tzitzit tucked-in. I still feel comfortable. However, thick tzitzit more often remind me about hashem rather than thins. This is what I felt, I don't know what's the cause even :)