Use a large one if you are repairing a sock that has been made with a thick yarn, like one that someone hand-knit for you, or comfy winter socks. For the thinner, store-bought socks (like those favorite argyles that you just can't toss out) use a smaller needle.
I bought a set of Clover Chibi darning needles. These are inexpensive and come in a cute little case. Compare Prices Online for this darning needle set.
Need some advice on darning socks? Check out our complete photo tutorial on repairing socks with a darning needle and read about why sock darning can get addictive: