I generally use 26 gauge. Most of my RDA's are dual post Velocity style RDA's so I can do fairly large coils (8 or 9 wrapped spaced coils) and that gives me a target resistance of about 0.45 to 0.5 ohms. The large the gauge number, the thinner the wire is. This means you will have a higher resistance and the wire will heat up quicker. A lot of people will use 24 or even 22 gauge wire, which will be fairly thick, with a lower resistance (around 0.2 ohms) and will take a bit longer to heat up.
Even with 26 gauge wire, I will press the fire button the mod about half a second to a second before I start inhaling because at around 35-40 watts, it takes about a second before the coil heats up enough to start vaporizing juice. Thicker wire will also be stiffer so it will hold it's shape better.