Generally speaking, trade the contract month with the highest volume.
Because futures contracts do not live forever and expire periodically, it is important to pay attention to the contract month you intend to trade.
Every contract has different expiration months. For example, equity indices trade quarterly with expirations occurring in March, June, September, and December.
If it's January, you should be trading the March expiry, etc.
The CME Group provides more information on contract month expirations here.
Specific volume information can be found by accessing the CME Group product slate, choosing the specific product, then choosing the volume & Open Interest tab.
If you are carrying a position, it is important to roll the position into the next contract. In the case of cash-settled contracts, this can be done before expiration.
With physically settled contracts, this should be done before the contract enters the notice period for delivery.