It sounds trite, but: there is no right or wrong answer on picks, it all depends on what sounds and feels best to you. I would say, find a music store that sells picks singly (as opposed to only in packs) and buy a ton of different ones - different weights, shapes, materials (you might be surprised how different the different types of plastic sound), brands, and so on. Most picks are cheap, somewhere around 25 to 50 cents each, so try as many as you can get your hands on.
I'm primarily a rock player and play primarily with a pick - also, I prefer a sharper attack than a lot of other acoustic players do - so my preferences in a pick might be a lot different than yours, but for what it's worth I usually use picks that are labeled "heavy" or are around 1.0 mm, give or take. My favorite pick brands lately are Fender and Dunlop.
There sure are picks that address the slippage issue - anything named "grip", "control", and so on is (supposedly, at least) designed to slide less. The only ones I've tried are Dunlop Gator Grips, which have a powder coating - on the whole pick - that from my experience does make them easier to keep in place. The powder coating doesn't last all that long however, though I use them for their sound rather than their grip factor so it isn't an issue for me personally (I could do without the powder in fact ... seems a little gimmicky to me). There are other types of "grip" and "control" picks too, though I haven't tried them. Also, some people modify picks to reduce slippage. I've heard of punching a hole through a normal pick so that your fingers touch through the hole when you hold the pick, and I've also heard of sanding or otherwise roughing up the part you hold.
