I'd recommend a silicone "G-spot" vibrator, as it can be used by either one one of you and it can be easily manipulated to hit the most sensitive spots. Look for one that's powerful and "rumbly" for best stimulation, and also look for one that has a bulge at the handle end to keep it from going too far in.
Other ones to look for are the Fun Factory Duke (easy to insert, does a good job staying in place, rumbly vibrations) or a thin, curved dildo or probe (there are plenty of non-realistic ones out there, for a probe the Tantus G-Force is nice).
You can use a glove if that would make you feel better about using a finger. To minimize the "doctor's office" feel you can put it on ahead of time and/or get gloves in fun colors.
Make sure that you use lube no matter what toy you wind up using, and take your time. Play around on the outside, stimulating his anus from the outside and letting him get used to the sensations before you try to dive in (good advice for anyone starting out anal play, not just men). Also, make sure he doesn't just "man up" through discomfort. If it doesn't feel good then back off for some more foreplay (it can feel "funny" - that's just fine and is often because you aren't used to the sensations, but it should NEVER hurt).
Try both anal and genital foreplay as well before starting out. If he's aroused it will feel better and it's easier to find the prostate.