Are you talking about rolling your outer thigh (IT band)? If so, you'll need one that is long enough for you to be able to balance on without tipping, and it will need to be dense enough that you can get decent pressure without it squashing down when you put your weight on it. Also voting for you to skip the cheapy white ones. They are not dense enough and will develop a permanent squashed down part pretty quickly. You'll get better results if you spend the extra $20 or so on a professional one. Look for "closed cell foam".
These Balanced Body magic rollers are my favorites, durable and nice firm pressure. I teach classes with these and they have held up well through heavy use:http://www.pilates.com/BBAPP/V/store/ac ... oller.html
OPTP has a ton of rollers as well. I have some of their pro-rollers. They are a tiny bit softer than the Balanced Body ones:http://www.optp.com/Foam-Roller-Therapy.aspx
If you are super sensitive you might look in to an even softer roller but I haven't ever had any complaints about the firmness of the Balanced Body or the OPTP ones.