Why Wouldn't I Buy A Diode With The Highest Reverse Voltage?
You can see my answer linked by DKNguyen about the real differences based on voltage. Realistically, for mains frequency normal applications you may as well buy 1N4007 or the SMT equivalents as the price difference is pretty small, at least for non-consumer quantities. In a million quantity the difference between a 1N4002 and an 1N4007 might be a total of $1,000, so it's worth spec'ing the cheaper one if it works and nobody wants to throw away a kilobuck. 

The situation is rather different for Schottky diodes- higher rated voltage generally leads to a higher Vf at a given current. Compare the differences between 1N5817, 1N5818 and 1N5819 rated at 20, 30 or 40V. 

Vf at 1A is max 0.45, 0.55 and 0.6V. So using a 1N5819 where a 1N5817 will do, means about 1/3 more power dissipation.