“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 this to your children.

Pick out which one you want.

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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".