Slender vibrating dildos or plugs are also a very good idea, as the vibrations will "ease' the way by forcing the sphincter muscle to relax which will make the experience far less uncomfortable. I'm a huge fan of anal play, but even I don't want anything to do with anal toys if they don't vibrate if the point of them is to get me off.
The Silicon Flexi-Power Rod is an amazing toy that I feel would be a great beginner's toy as well, but any slender vibrating dildo or probe would work. If you go with a plug, make sure its a small one, but I agree with Sir in that warm up with a dildo instead might work out better.
Have her take a hot bath or a long soak in the shower first to help her relax. If she has never played with anal toys, then encourage her to experiment on her own first. She needs to be comfortable with her own body first before she will relax enough with you. Anal play can be an emotional experience for many. Even though she's willing to try it with you, for her first time, it might be better if she was alone or at the very least you just watched rather than participated.
Tristan Taormino's book, The Ultimate Guide To Anal Sex For Women, is a great book about anal play and anal sex. I highly recommend getting it. There is a lot of valuable information in it.
Keep in mind though that during anal penetration, whether with a toy or through intercourse, she will need clitoral stiimulation as well, if the experience is to be enjoyable. A bullet is a great way to go about that as that nifty little toy will be a great way to distract her during the initial stretching. Either the Golden Nugget (my personal favorite) or the Xtreme Pack G-Spot bullet are really good choices, or any other bullet that strikes her/your fancy.
Good luck... and remember, lots of lube, lots of foreplay, take it very slow, and most importantly, have fun!