"Picky" is for a person who is very particular about what they want, often unnecessarily so to the rest of us who aren't so "picky."
Usually when I hear the word "picky," I hear it used in reference to eating habits. "My sister is such a picky eater. On the other hand, I'll eat anything."
Speaker A: Have you picked a college yet?
Speaker B: No, I haven't. I'm being VERY picky about where I go.
Speaker A: Well, you better decide soon!