This choice is a balance cost,safety and structural integrity. A heavier gauge may be called for by your engineer or architect for attaining certain structural elements in your design or may be neccessary for achieving a certain code rating. Keep in mind a heavier gauge will hold up both to the elements and to harsh weather conditions better than a lighter gauge.

However these choices come with cost attached that need to be balanced and you and your contractor may want to make this choice together. The different gauge ratings refer to the thickness of the steel making up the profile