i use #8 between and recommend starting with a #7 and work down in size to the one that works best. It is not true that the smaller the needle the finer the stitches. As Jan as said, a lot depends on one's ability - hand and finger size, qult you are working on etc.
Don't buy the assorted size that are #5-whatever or a #7 to whatever. You will probably use only one or two and put away the rest for sewing on buttons. The only assorted pack I recommend is the one I believe by Thomas that is #8-#12 but can't find them at many places. At least this assorted pack has all the sizes you are most likely to use.
I also prefer those made in England and not Japan as I believe the English needles are stronger and do not bend as easy. However, many sware by the Japanese needles. Also brands are a mis conception as I understand most from amy country come from the same factory. And the designer needles (recommended by a famous quilter) are not always the best. I do know that one such needle is the same as the one sold under Colonial. So the bettom line is find one that works for you. I should have added that while I started with a #7 and then an 8, I stopped at a #9 because i fits my hand.