This article is from the Car Audio FAQ, by Ian D. Bjorhovde (email@example.com) with numerous contributions by others.
Again, there is much debate over the benefit of the various schemes
that are being used by different manufacturers. In general, however,
you will probably want to upgrade your speaker wire from the factory
~20 gauge to something bigger when you upgrade your amplifiers and
speakers. In most cases, 16 or 18 gauge should be sufficient, with the
possible exception of high-power subwoofers. According to an example by
Jerry Williamson, using 18 gauge instead of 12 gauge would only result
in a power loss of 0.1dB, which is essentially undetectable by humans.
Thus, other factors play more important roles in the selection of
speaker wire. One issue is that different wires will have different
line capacitances, which could cause the wire to act as a low pass
filter. Generally, however, the capacitances involved are so small that
this is not a significant problem. Be sure to heed the warnings above
regarding cable flexibility and insulation, especially when running
wire into doors and other areas with an abundance of sharp metal.