I actually used to do piercing myself for a while, on the sensitive skin question the surgical steel they use for most piercings should be fine if it is a nickle alergy however if you dont have that specific problem or you dont know then there are a few options.
I dont have my niples pierced but i do have other pircings and i also have horribly sensitive skin but i find that the coated titanium variety are fine with me, the coating does wear off though so they need to be changed regularly.
The problem with using other metal is that you generally dont have much choice of which you cant be pierced with origionally. Where I worked it was steel or titanium and thats it.
I really recomend that you get something else pirced with the same metal first in a less sensitive spot, top of the ear for example as the same bars and rings are used. You can always take it out and let it heal over after a few weeks but that way you can be sure that you arnt going to have a reaction to it.
rejection is sometimes a problem with nipples so find a good pircer it needs to be done quite close to the breast and if the bar is too thin or thick then it can cause you to reject, its rare but it happens.
as for the specific thickness it depends on the size of your nipples 1.6 mm is standard though, and weights dont really affect the size you will need to be pierced with but you can start small and work your way up, which is a much better idea than getting a bar thats too wide for your nipples!
pm me if you like