What kind of nails should I use? I use a nail gun

This is a wonderful though rather generic question, Chris! I hope you would agree with me that in order to answer it well you would have to specify what kind of a job you're doing and, obviously, which nail gun do you have.
Nail gun nails, just like the old claw hammer nails vary for different jobs and, in the most basic principal, should be #1 long enough to hold the pieces you're nailing but not too long as to protrude beyond the pieces (roofing nails being a notable exception to the protrusion rule)    #2 thick enough to withstand any shearing forces and prevent bending while being driven down #3 have the head big enough to hold thin material or small enough to be easy to conceal if just the friction between the nail and the pieces is enough to hold them together and smooth finish is required.
The quicker the action of the nail gun and the softer the material, the thinner can be the nail.
The nail guns (nailers) themselves can be separated by the driving force which also has an effect on how quick the action is - electric (slowest action), compressed air (faster) and powder-actuated (fastest).
The differences between the nail guns don't end there and there's number of different nailers designed for various different purposes:
<strong>Framing Nailers</strong> Some of the most versatile and powerful nail guns capable of connecting large wood stock used in framing, decks, trusses etc. with nails 1" to 3.5"  long and to 5" in some heavy-duty models. You would use plastic or paper collated .120-.130 diameter nails with these. 
<strong>Roofing Nailers</strong> Designed for shorter 3/4" to 1-3/4" nails with larger heads
<strong>Flooring Nailers</strong> Specialized nailers capable of driving flooring cleats and nails at an angle and, maybe even more importantly, the handles are designed to prevent operator fatigue by allowing operation while standing. Needs specialized nails like ones in one of the earlier questions here:
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<strong>Siding and Fencing Nailers</strong> Similar to roofing nailers but fro medium-length nails (1"-2") and often having magnesium housing to reduce weight because you'd normally hold them up all day as opposed to resting them against the work as in roofing nailers.
<strong>Finish Brad & Pin Nailers</strong> These are smaller, often electrical (including cordless) nailers that drive small brads and pins, headed or headless, from 16 gauge all the way down to 23 gauge micro pins with lengths from 1/2" to 1-1/2" or 2" for thicker ones . Used in crown moulding, cabinetry, flooring and anywhere there's a fine finish and nails need to be concealed. The nails are usually connected together and fed in a way staples are.
<strong>Metal Connector Nailers</strong> These are framing nailers with heads designed to find a hole in the metal connectors and drive the framing nail into the hole.
<strong>Cap Nailers</strong> Specialized nailers similar to roofing / siding nails that in addition to the nail feed a 2" - 2-1/2" plastic cap and shoot the nail through the cap to spread the holding force over the large surface area of the cap. Used in attaching house wrap film, roof felt or foam insulation sheets, thin and /or very soft materials to flat wood sheathing.
<strong>Concrete/Steel Nailers</strong> usually gas, powder-actuated or the most powerful pneumatic nail guns able to drive a specialized hardened 1/2" - 2-1/2"  nails into concrete, masonry or steel. Normally used to fasten furring strips, plywood, decking etc directly to concrete.
As you can see, there's a wide variety of nails and nail guns out there and you definitely need to narrow it down based on your application. In some cases your nailer itself may not be the right tool for the job and you'd have to rent of buy the one that's needed.
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