It's about creating surface area. If you want to do simple single wire coils, then yeah 22g would be a good choice. However with a little more complexity you can get better and better as you get more complex. 2X24 or 26g in parallel is very easy to make and a big step up in quality. You can do twisted and twisted in parallel (reverse directions and it looks really cool too, called zipper coil). If you want to go even further (and it's worth it) you can jump to claptons, fused claptons and then move on to things like aliens and what not.
Anyways, I'd suggest grabbing some 24g and 26g, try both in parallel. Try 24g twisted. And try 26g twisted in parallel. All easy to do, no drill required.