Most earrings we craft are made of wire and wire has some thickness. The exact earring thickness you need depends on your piercing (hole) size.
In the US thickness of wire (and also piercing size) is measured in gauges.
The golden rule to remember is the smaller the number of the wire Gauge, the thicker wire will be - hence 14 gauge is much thicker than 24 gauge.
Please take a look at the following picture to see the difference between wire gauges.
Here is the approximate gauge to mm wire thickness conversion table:
Please take a look the picture below to see how earring gauges look in real life.