I've used 2-mil, 3-mil, and 5-mil. I've used hazy, clear, and opaque films, and smooth and textured films. Remo, Evans, Aquarian, Ludwig, and Attack. I think it would probably be faster to say what I haven't tried than what I have, actually.
After all of that, I've settled on the Remo clear Ambassador no collar head. For me the mechanical benefits of having a no collar head outweigh all of the sonic shading other films and thicknesses offer.