Welcome to the SeeMeCNC Community

I'm placing an order on McMaster today for some odds and ends. I want to get a few each of the feeler gauges that I can use to help setup and calibrate my 3D Printers. I've seen people suggest 0.05mm, 0.1mm, and 0.2mm.

Is there an ideal thickness for each material (PLA,ABS, Ninja, TGlass)?

I always add on the thickness of the gauge after I set Z = 0, so it doesn't much matter. You just don't want to go to thick, you want some flexibility in the gauge, but any of those you list would be fine.
FWIW I have all those sizes (and many more) and I use 0.1mm (technically 0.104mm since it's actually an imperial gauge) because I find the math easier.