The best answer for this question is "as thin as you can get". unless you have a good reason to want a thick stencil material, for example, if you are plastering a raised design through a stencil or making a parking stencil. For just about all other stenciling work a material of around 3 to 4 mil will do the trick.
A stencil material that is durable, easy to cut and holds good detail and is over 4 mil is difficult to find on the retail market. The most commonly available films that are suitable for repeat stenciling are usually around the 3 to 4 mil range. They include acetate film and polyester film otherwise known as Mylar or drafting film (my favorite).
The real issue in most cases is not so much thickness as durability. some folks believe that thicker means longer lasting. Not so....keep in mind that we are using these stencils as a simple mask to paint through.
If you fold a crease in a stencil, irrespective of how thick or thin it is, you will ruin it. If you let paint dry on it for weeks, it will be difficult to remove.
If you walk on it or drive your car over it repeatedly, then it wont last very long. Thin film like 3 mil drafting film will last for many years and hundreds of impressions, if you look after it, treat it with respect and clean it carefully after using it..