Can I just pick them or are there specific ones I should use.
On most Arduino boards (those with the ATmega168 or ATmega328), this function works on pins 3, 5, 6, 9, 10, and 11. On the Arduino Mega, it works on pins 2 through 13. Older Arduino boards with an ATmega8 only support analogWrite() on pins 9, 10, and 11.
Lots of discrepancies in the arduino mega2560 product and analogWrite() reference sections on this.