The most common nozzle used in 3D printers today is no doubt the 0.4mm brass nozzle. This works fine for the basic filaments like ABS, PLA, ASA, and PETG and many others. But, there are more exotic filaments out there that are much more abrasive than these filaments and will very quickly wear down the tiny hole in your brass nozzle, causing it to become enlarged and misshapen which will progressively degrade the quality of your 3D prints. These other filaments include filaments such as carbon fiber, wood fiber, filament containing metallic particles and so on. So, if you are considering using some of these more exotic filaments, you should very seriously consider upgrading your nozzle to a hardened steel nozzle. A hardened steel nozzle is specifically designed to endure the abrasiveness of these filaments for a prolonged period of time.
The other parameter to consider is nozzle size. 0.4mm is considered the standard and is appropriate for the needs of most enthusiasts. But today, you can now get nozzles with orifices anywhere between 0.15mm to 1.2mm using Volcano setups. The larger the nozzle orifice, the slower you will need to print unless you have a heat block that can keep up with heating the volume of filament you are trying to push through it. The smaller nozzles such as 0.15mm and 0.25mm will often require a quality filament as these are now getting to a size that could easily get blocked from any contamination that may be in the filament. Also, you will need a decent extruder when using these smaller nozzle as it will require higher extruder pressure to push the filament through such as small orifice.
Here is a video from Tom Sanladerer who also provides excellent information about what to look for when choosing a nozzle for your 3D printer.