Bill220 is right, there should NOT be any pain!
The most important thing you will need is lube (silicone preferably) and a little relaxation. You can start with your or your partner's finger (you can use condoms or latex gloves if you wish to cover the finger).
If you would like to use a toy get a smooth and hygienic one! I personally prefer glass but stainless steel and silicone are excellent as well.
As far as shape of toy goes your options are pretty open so long as it has a flared base or bulbous end. Never use a straight toy anally! It can enter too far and get stuck! Some people prefer to start with plugs and insert them during masturbation or intercourse. Others like beaded or ribbed toys (like Icicles No 2) which can be tugged, tapped, or thrusted.
Have fun and be safe!