Heavier limes tend to be more juicy, but another important factor is the color and texture of the skin. Look for the brightest green (sometimes with almost a yellow tinge) and smoothest skin you can find. Many bumps or shriveled looking areas are good indications that there will be less juice. If that's all that's available in your store, though, just get more of them. If they have broken skin, I always avoid those. I've gotten them home and found that even if there's juice, at least the section near that break has gone dry and sometimes discolored, definitely a waste of my money and time.
Another thing I've found helpful, which can be done easily in the grocery store, is a smell-test. (This also works with lemons, which to me are just as confusing.) When very juicy, the skin has a scent, which may be subtle, but definitely different than those with none. It's one sign of freshness, similar to knowing when to pick them from the tree.
As Josh Caswell said in his excellent answer about pith, there's nothing wrong with rolling them around in your hand in the store; not enough to damage the lime of course, but enough to warm them up just a bit so they'll release some juice and a nice smell. I don't know where you're from, but in Massachusetts, in the Northeastern United States, the produce department is often quite cold, so I do that with all my citrus choices.
This site has some good pictures and information, and even mentions using them for cocktails! The Cleveland Clinic gives the same basic information, with a video that I found helpful.
To answer the question that was asked about the importance of skin thickness, it's something I don't generally think about when I shop, so I did some research. Most sites didn't mention it, especially with the common lime which is the most popular variety, but there is one that does recommend choosing a thinner skinned fruit.
They should feel firm and heavy for their size, because heavy limes will produce the most juice. Select limes with thin skins, avoiding the thicker skinned fruit, which is an indication of less flesh and juice.
I know you didn't specifically ask, but just to add that if you have limes at home and you're not getting the maximum effortless, free-flowing juice, you can microwave them for about 20 seconds. It helps release the juice, and works for other citrus fruits too. I'd watch carefully, because I've overheated my fruit doing that. It's fine if I'm going to use it for cooking or in my hot tea, but for cold drinks and things you then have to wait for it to cool off, which may be more effort than you need.