I primarily use 24 awg = 0.50mm, or 26 awg = 0.40mm. At a given resistance, thicker wire gives more wraps and cooler temps than a thinner wire. Thems are the very basics.
For vaping you can pretty easily find 20-40 gauge kanthal.
If you look on non-vape related sites, you can get it as thick as 9 gauge.
But building with gauges thicker then 23 requires special care due to the low resistance.