Start out with a slick and slightly thick lube on a tapered toy. The shape of the toy is going to be more important than the lube - I have a dildo that I like anally (Tantus Captain/Squirt), but it's so blunt that I have to either take it very slow or work up to it with another toy. There's nothing wrong with having a toy or toys dedicated to starting the night (or day, or afternoon) off right, and then moving onto other favorites.
For prolonged play I like silicone. It's bodysafe, so provided you choose a lube that you don't react to you won't have any irritation. It can also be cleaned and sterilized. A close second would be hard materials such as metal and glass. Again, they're safe for long-term use, and they also tend to be slick so you don't have to worry about "loosing" the lube. They're stiff, so they can potentially be uncomfortable if they poke, one of the reasons I like silicone just a little better.
Really soft materials can sometimes be difficult to insert, but again, the shape is the most important factor. That and taking enough time to relax around the toy.