In addition to meeting the SH or SJ classification of the American Petroleum Institute, your oil should be of a viscosity suitable for the outside temperature in which you'll be driving.
Oil must be thin enough to get between the close tolerances of the moving parts it must lubricate. Once there, it must be thick enough to separate them with a slippery oil film. If the oil is too thin it won't separate the parts, if it's too thick it can't squeeze between them in the first place either way, excess friction and wear takes place. To complicate matters, cold-morning starts require thin oil to reduce engine resistance, while high-speed driving requires thick oil, which can lubricate vital engine parts at temperatures up to 250°F (121°C).
According to the Society of Automotive Engineers' viscosity classification system, an oil with a high viscosity number (e.g., 40) will be thicker than one with a lower number (e.g., l0W). The "W" in l0W indicates that the oil is desirable for use in winter driving. Using special additives, multiple-viscosity oils are available to combine easy starting at cold temperatures with engine protection at turnpike speeds. For example, 10W-40 oil will have the viscosity of l0W oil when the engine is cold and that of 40 oil when the engine is warm. The use of such oil will decrease engine resistance and improve your gas mileage during short trips in which the oil doesn't have a chance to warm up.
Some of the more popular multiple-viscosity oils are 5W-30, 10W-30, 10W-40, 15W-40, 20W-40, 20W-50, and 5W-50.
Consult your owner's manual or a reputable oil dealer for the recommended viscosity range for your vehicle and the outside temperature in which it operates.
Fig. 1: Typical oil grade recommendation chart--check your owners manual for specific manufacturers recommendations