Our first plug was the li'l end by doc johnson. Great for the beginner but we had a little difficulty with the plug sating in during sex. We love the mood naughty medium for both anal play and as an add in during sex so hindsight I would have chosen the latter.
Oh, I forgot that I had a set of plastic anal beads, a LONG time ago. Threw them out in like 96, I think?
Our first real anal toy was the Tantus Ryder; but the first toy we ever used for anal play was the old Vixen (I think) Bullseye. Man, that thing was awesome. Not an anal toy specifically, but a great dildo for buttfucking. That was about ten years ago. Did pegging even have a name back then?