“Pick out which one you want.”

You are at a video rental store with your children. You are getting several DVDs to watch over the weekend. You are going to let your children choose one DVD to watch. You say:

Pick out which one you want.

pick out (something)

To "pick out" something means to choose what you want. You use this phrase when talking about choosing from among a lot of different options. It's often used when shopping:

I picked out a nice dress for you to wear to Aiko's graduation.

You don't use the phrase "pick something out" when you have only 2 or 3 options.

It's also more casual to say "pick out" than to use the word "choose".