I started with anal sex. No fingers, just lots of lube. Then went onto the Swirled Blue Dildo. That thing has a pretty big head for one first starting out with anal play with toys during masturbation.
People who ask me about what they should start with, I suggest a gradual toy like the Icicles No. 2
if they seem to be pretty interested in anal. The ones that seem scared but curious I suggest to them the Pleasure Pearls
as it is really thin and about the length of a finger.
But overall, I think it would be wise for a beginner to anal play to get something that is made from silicone or glass or something that can be used anally and vaginally so if you end up not enjoying anal, you've at least got a new toy! And in men's cases I suggest something that can be used for g-spot stimulation as well.