The most popular width for a men's wedding band is approximately 6-7mm. Big guys and men who are used to wearing jewelry may prefer wearing a wider band such as 8mm or 8.5mm.
Women generally prefer bands in the 6mm - 7mm range if it is to be worn alone. If the band is to be paired with an engagement ring, the most popular choices are 4mm - 7mm.
Ultimately it's a personal decision about the look you're trying to create and about how comfortable you are about wearing a ring. The wider the band, the more conspicuous it will look and feel.