Fingers are good to start with. See how many you're comfortable with, measure around them at a point about 1/2 of an inch up from where the outside of your anus was, and then you have a idea of a good circumference.
Get something smooth, and if possible with a taper at the tip. An inch to an inch and a quarter is a good starting size to shoot for, since it's big enough to where you're likely to use it for a while. If you're not up to that size yet I recommend playing around with fingers a bit more as you learn to relax. That way you won't have a small toy that you quickly outgrow.