Choosing a coaxial connector mostly comes down to frequency range, durability and compatibility. Overview of common types (frequency figures are nominal mode-free limits; check the specific manufacturer's datasheet, as performance varies by part):

SMA
- Nominally rated to 18 GHz for many parts, with some precision variants specified higher.
- Uses PTFE dielectric extending to the mating plane in many designs.
- Low cost and ubiquitous; lower durability and repeatability than precision types.

3.5 mm
- Air dielectric interface, precision design, nominal upper limit around 26.5 GHz (often used to about 33 GHz).
- Mechanically compatible with SMA and 2.92 mm.

2.92 mm (often referred to by the trade name K connector)
- Air dielectric interface, mode-free to about 40 GHz.
- Compatible with SMA and 3.5 mm.

2.4 mm
- Designed to about 50 GHz.
- Not compatible with the SMA family; its larger, sturdier outer conductor and different geometry make it robust.

1.85 mm (V connector)
- Usable to about 67 GHz (and sometimes beyond).
- Mechanically compatible with 2.4 mm.

1.0 mm
- For measurements to about 110 GHz.

How to choose
1. Pick a connector whose mode-free range comfortably exceeds your highest frequency including harmonics you need to measure.
2. For lab instruments and frequent mating, use precision connectors and connector savers.
3. For products, consider whether a board-edge or end-launch connector is well matched to your transmission line; the launch transition often matters more than the connector itself.
4. Use the correct torque wrench for each type.

Remember that mechanical compatibility does not mean equal performance: an SMA-to-2.92 mm mated pair is limited by the SMA side.