The first anal toy I sucessfully used was the luxotiq metal anal plug. The tip is about the size of a finger then it gradually expands in girth. I had a few silicone plugs I tried first, but those just didnt work out for me. The luxotiq also comes in glass and is a liile cheaper if the price is intimidating. Watch for it to go on sale.
The first was a hard plastic standard vibrator. It worked and it got me off and that's how I knew I liked anal play. My favorite.... hmmmm???
Sadly, probably an old jelly strap-on that an ex would peg me with. Now I would never use jelly, but at the time I didn't know any better. the worst [art for me is that I really like the feel of jelly better than silicone, but the safety factor is more important to me now.