wrapping around a Cadbury Creme Egg, for instance--but if you're going for the simple, undeniable pleasure of straight-up bacon eating, thicker is almost always better. Those few extra millimeters give you a crispy outside, chewy inside, and all-around better flavor.
You can procure a package of Oscar Mayer's Super Thick Cut stuff (available at fine grocers everywhere!), but your best bet is to head to your local butcher or specialty-grocer meat counter and have them slice for you. The beauty at left was born at Gene's Sausage Shop in Chicago's Lincoln Square neighborhood. They smoke the lean, Danish-style bacon themselves and offer it up for $4.99/lb. (about what most grocery-store brands will run you, but with MUCH higher quality). Just ask the nice man in the paper hat to slice it about 1/3 of an inch, take them home, and bake them in the oven.
The only tradeoff with thick bacon: Patience. Your average thin-slice strip will take about 12-15 minutes when baked in a 350-degree oven. For thick slices, add about 10 minutes to that. The wait, however, is well worth it.