My recommendation: make them just as big as you REALLY need them.
E.g. for a zip code column, 10-20 chars are definitely enough. Ditto for a phone number. E-Mails might be longer, 50-100 chars. Names - well, I usually get by with 50 chars, ditto for first names. You can always and easily extend fields if you really need to - that's no a big undertaking at all.
There's really no point in making all varchar/nvarchar fields as big as they can be. After all, a SQL Server page is fixed and limited to 8060 bytes per row. Having 10 fields of NVARCHAR(4000) is just asking for trouble.... (since if you actually try to fill them with too much data, SQL Server will barf at you).
If you REALLY need a really big field, use NVARCHAR/VARCHAR(MAX) - those are stored in your page, as long as they fit, and will be sent to "overflow" storage if they get too big.
NVARCHAR vs. VARCHAR: this really boils down to do you really need "exotic" characters, such as Japanese, Chinese, or other non-ASCII style characters? In Europe, even some of the eastern European characters cannot be represented by VARCHAR fields anymore (they will be stripped of their hachek (? spelling ?). Western European languages (English, German, French, etc.) are all very well served by VARCHAR.
BUT: NVARCHAR does use twice as much space - on disk and in your SQL Server memory - at all times. If you really need it, you need it - but do you REALLY ? :-) It's up to you.
Marc