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"Heavier" string gauges - i.e. those that have thicker strings, give more sustain, and enhance a guitar's natural tone. They often hold their tuning better than lighter gauges.
"Lighter" string gauges are easier to "bend" notes with, but have a much thinner sound. However it is also easy to accidentally bend a note out of tune with light string gauges.
Experimenting with different brands is great, but once you a find a brand and gauge you like, stick with it. Your guitar will thank you for it. Constantly changing string gauges usually involves adjustments to the neck, which can be a time-consuming pain, and wouldn't you rather be playing?
There are two main flavors of bass strings: roundwound and flatwound. All wound strings are made by wrapping layers of wire around a core wire. Roundwound strings use a round wire as the wrap, flatwound strings use a flat ribbon wire.
Roundwound strings deliver brighter sounds, but can emphasize squeaks. Flatwound strings have a duller sound, with less extra noise, and tend to keep a more consistent tone longer.