Another vote for leather thimbles. I tried the black ones for a while, but the seam sits right on the side of my finger, which happens to be what I use to push the needle through. So I'd end up pushing the head of the needle through the seam and stabbing myself.
The thimble I use now, and have used for several years, is the Clover Natural Fit leather thimble. It's the most comfortable, comes in 3 sizes, and is available at several stores in my area.
Clover thimble