The moment it clicked for me was a plain white shirt, top two buttons undone, nothing else on except a thin gold chain with a single letter sitting right in the dip of my collarbone. It wasn't trying to do anything clever. It just looked like it belonged there, like it had been chosen rather than bought. That's the whole appeal of an initial necklace, it reads as personal even when it's come off a shop shelf like everything else.
Before you buy, look closely at how the letter is actually attached and made, because this is where cheap versions show themselves fast. A flat stamped letter soldered flush to the chain sits still and keeps its shape. One that dangles from a jump ring will spin round and show you the back half the day, which is fine until you're wearing it to something that matters and the letter's facing your collarbone instead of the room. Check the plating too, rub it gently between your fingers in the shop if you can, a good gold vermeil or solid piece feels slightly warm and heavy for its size, while a thin flash plate feels light and slightly cold, almost plasticky, and that's usually the one that goes silver at the edges within a few months of being worn against skin.
If you've got none of these, start with your own initial in a small, plain serif or block letter rather than anything scripted or jewelled. Script looks pretty on the shelf but reads as a blur once it's small and moving against your collarbone. A plain letter also goes with everything else you own, it doesn't compete with other jewellery, it just sits.
Length is where most of these actually go wrong. Sixteen inches sits the letter right at the base of the throat, which is the flattering spot for almost everyone, high necklines included. Eighteen drops it lower, onto the chest, which suits a lower neckline or layering under another chain. Too long and the letter ends up somewhere around your sternum, which looks less like jewellery and more like you've misplaced it. Watch the clasp as well, a tiny lobster clasp on a fine chain is fiddly with cold fingers or long nails, and a spring ring that's worn thin will pop open on its own, usually right as you're taking your coat off somewhere you can't easily find it again.
Get the length right for your neckline and the letter sitting upright, and the rest of it looks after itself.