First up use a finger or two. Put a glove on - makes things smoother - and make sure your nails are trimmed and don't have any sharp edges.
Using your fingers decide if you prefer thrusting play (dildos/probes) or stationary/wiggle play (plugs), or if you think you'd like a vibe. Also figure out about what size you think you want.
From there get something soft and bodysafe (generally silicone).
If you consider lube a toy that is the best first anal toy, and get it before you start messing with fingers.