Certainly thinner is going to be better in this case, for building compression.
If you go with a common composition-style head gasket (very easy to seal up even if things aren't perfectly flat) you'll find most are rather thick- around .040" or more. With a gasket of that type, like they typical FelPro Blue rebuilder gasket your new compression ratio will be around 8.95:1.
The thinnest composition-style head gasket available is the GMPP .028" compressed thickness gasket. With this gasket you'll be at 9.2:1. Here is the link to that gasket:
http://www.sdparts.com/product/10105...eadGasket.aspx
They claim it's for stock and mildly modified applications, but I've used it up to 500HP myself personally with no issues whatsoever. It's a tough little bugger.
Now, if you want to go REAL thin, then you're talking about a steel-shim style gasket. They are less forgiving of parts that aren't perfectly flat, but newere designs like the Fel Pro 1094 have o-rings embedded in them that help mitigate this. With one of these gaskets you'd be around 9.4:1.