It shows a kind of thought that a generic piece cannot, because you chose the letter for them. That is why initial pieces turn up at so many milestones: birthdays, graduations, a new baby, a wedding party where each bridesmaid gets her own letter.
It also tends to be worn far more than a showier gift. A small initial goes with work clothes, weekend clothes and other necklaces, so it becomes part of someone's daily look instead of living in a drawer.
A single letter reads clean and is easy to recognize from a distance. If you want more than one, think about wearing two separate initial necklaces at different lengths rather than crowding several letters onto one small pendant, which can turn hard to read.
Letter style changes the mood too. Block capitals look bold and graphic; script letters look softer and more romantic, though they can be harder to read at a glance. Pick the style that matches how the person already dresses, not the one that photographs best.
Because an initial pendant is personal, people rarely take it off, so choose the metal for constant wear. Solid gold holds up best; 14K is harder and more scratch resistant than 18K. Sterling silver necklaces are an easy, lighter commitment, but silver tarnishes over time and needs a polish now and then. Gold vermeil gives a gold look over silver, and its gold layer can wear through with heavy daily use.
Read the metal line in the details of any piece you are considering, so you know exactly what you are giving.
Confirm the letter itself first. It sounds obvious, but nicknames, married names and middle initials trip people up, so ask a friend or family member if you are not sure which one the person uses.
Then think about length. A letter at the collarbone shows above most necklines, while one that falls a little lower suits higher collars. If you want to layer it, browse gold chain necklaces to pair with it. Finally, read the return terms on the item you choose before you buy, since pieces made for one person can be handled differently from standard jewelry.