Fleece jackets come in a variety of numerical and relative weights. The higher the fleece weight, the warmer the fleece will feel. Ideally, you want a fleece that feels just warm enough for standing around but not so warm that it'll leave you sweating when you're skiing, snowboarding, climbing, or hiking.
A fleece with a windproof membrane is more versatile and allows you to wear it as your primary (outer) layer in cold, windy weather. However, this will also compromise breathability for highly aerobic activities.
For casual wear, almost any fleece will work as long as it feels comfortable and fits your style. For technical activities, look for a slim or athletic fit so you can wear it as a mid-layer. This will ensure that your fleece doesn't feel too baggy beneath a shell jacket.