For anal sex we prefer silicone. It doesn't take a lot - and doesn't need to be reapplied often. When using silicone toys we have to use something else. For this we use YES oil-based lube. Most of the EF community will tell you to use a high quality water-based formula like Maximus - it really is good stuff.
I suggest reading the reviews - there are many lubes that are advertised specifically for anal play. Invest some time there, you'll get all the information that you need.
The best lube for you is the one that works best for you. Not very helpful, but absolutely true. Some people have sensitivities to some lube ingredients, causing a burning sensation (not good for playtime), some like different thicknesses, and so on.
Get small packets of every different lube you can lay your hands on (some manufacturers offer free samples!) and try them out. See what works best for you.
We've tried some others, but always come back to basic KY jelly. We've found that liquid lubes just dont stay around long enough and are too thin. KY stays and if it dries out after a bit, a little saliva is all it takes to make it slick again. Its also easy to find inexpensive generic brands.
Cherry ANAL LUBE. You don't need a lot, it works great and I haven't needed it to be re-applied at any point. Also, the candy-cherry smell helps me with the ick-smell factor of anal sex.