It depends entirely on what circuits you are connecting to, in what type of vehicle.
If you're talking about the relay outputs to the ignition wiring, then as a rule of thumb you should use at least the same gauge as the wire you're connecting to. Most vehicles use 12-14 gauge wiring in the ignition harness, but there are many exceptions. For example, when I'm connecting to the ignition wires in a 2000+ Caravan I usually cut off the 12-gauge wires from the remote start and solder 18-gauge wires in their place.