That's incorrect colon usage: a colon should be preceded by an independent clause. Types of pickles aren't proper nouns and therefore shouldn't be capitalized. The last sentence is awkwardly redundant and missing a comma. It's also a pointless and nonsensical quote as a whole: How are four choices "so many choices"? If you only like dill pickles, then why did you have to think about which pickles to choose?

Anyway, I might change this dumb and random quote to the following:

Today I went shopping at the supermarket. I wrote a list of items I should buy: milk, cereal, and pickles. I went down a few aisles and then came across so many choices for pickles. I had to think to myself, "What kind of pickles should I buy?" On the shelf sat dill, sweet, spicy, and mini dill. Because I only like dill pickles, those are what I bought.

Thats amazing. I hope you enjoyed your Dill pickles. :)