In my opinion, the best qualities to look for in an anal lubricant are high viscosity, good staying power and a non-irritating formulation.
I've tried a number of lubricants, and while it is not one of the better known ones, Probe Thick and Rich is very nice. It's quite unique and very natural feeling.
Aside from that, I like to use Sliquid, particularly the organics line as they have been least irritating for me. If you have no sensitivity issues, the Sassy Booty variety is also nice.
Silicone lubricants last for quite some time, but are mostly very fluid and can be messy. Silicone toys might not like it either. Water-based is probably your safest bet.