Buy the shortest pepper mill you can comfortably use and only fill it with two or three weeks worth of peppercorns. The colour should be light and if you buy more than one similarly shaped mill, be sure to buy contrasting colours if they are not otherwise easily distinguishable from one another. You should not chose a transparent mill for pepper unless the mill will be kept in the dark.
With regards to convenience it is tempting to choose a pepper mill that is as large as you have space for to avoid having to refill. But pepper mills are not the best way to store your peppercorns. According to McGee's On Food and Cooking,
Even whole peppercorns lose much of their aroma after a month in a
grinder. (p. 428)
So if you care more about the quality of your pepper than the convenience of having a combined grinding/storage device, it's worth considering how much pepper you use per month.
One grind of pepper from my own pepper mill weighs about 90mg. This will obviously change from mill to mill, but I'll assume for simplicity that people use roughly the same amount of pepper regardless of how efficiently their mill grinds.
I estimate that I use, on average, about 5 grinds of black pepper per day. That brings me to about 13.5g (roughly half and ounce) of pepper per month.
The shortest pepper mill I've seen on the market is 3.5" (~9cm) and has a capacity of 0.4oz (11g). The next largest at 5" (13cm) holds about 1.7oz (48g), or more than three months worth of pepper for my own usage.
For me a 3.5" mill is a bit awkward to operate and a 5.5" mill feels about right. I suggest you buy the shortest mill that feels right for you and fill it only with enough peppercorns to last you two to three weeks.
I have three mills, one for black pepper, one for salt and one for white pepper. The salt and black pepper mills are near enough identical except for the letters P and S printed on the top. Consequently I reach for the wrong mill about 50% of the time. I would certainly recommend choosing different colours if you purchase more than one mill.
One answer here suggests choosing a mill with a transparent casing to solve this problem. This may not be a good idea unless you keep your pepper mill in a closed cupboard. To quote the peerless McGee once more,
Pepper is best stored tightly sealed in the cold and dark. If exposed
to light during storage, it loses its pungency because the light
energy rearranges piperine to form a nearly tasteless molecule
I would also recommend light colours. I'm often guilty of reaching for the pepper mill with my hands dirty from some food-preparation stage. It would be good, when this happens, to later have a visual reminder that the pepper mill is now also dirty. With a dark coloured mill this is difficult to see.