Thicker condoms are made for when there may be more friction involved, such as with anal intercourse, and you want the extra strength a thicker condom provides. It is also for men who seem to have problems with the condom breaking. Using extra lubrication is recommended for the thicker condoms, both inside and out. Jelly is is water-based and condoms lubricated with it are sticky. They also get dry because the water evaporates.
Silicone is a polymer and is slippery when felt between the fingers.
Silicone condoms do not dry out and may be more comfortable. Either type of lubricant can contain a spermacide, usually Nonoxynol-9. This means it also kills bacteria based STD's. That's the good news. A lot of people are allergic to it.