Kudos to those who recognize that a smaller wire heats up quicker!
It all depends on the final results you wich to achieve, how many wraps, what gauge wire, etc. But, all things aside, a smaller wire will heat up faster than a large wire. Make the wire 10 times larger: it will have more surface area, it will take more watts of power, due to the large surface area you can vaporize more juice, on and on, but in the long run, the larger the wire, the longer it will take to heat up.
Most of my builds are done with 30 gauge. 28 gauge and larger is only useful in sub-ohm builds where they can be run with huge amounts of wattage, making plenty of heat for my cloud-chasing efforts. Massive amounts of current are usually required for sub-ohm builds. For normal vaping, 30 gauge is my preferred. 32 gauge is getting pretty small, and I use it most often for a custom build such as a parallel-wind coil or for rebuilding small heads.