I like using my Jimmyjane Iconic bullet or Lelo Nea during sex, they are small and unobtrusive. Some like the We-Vibe II because you can have both internal and external stimulation during intercourse.
Like others said, a lot of women can't orgasm with just penetration alone. It's way easier for me to get there when I have some type of clitoral stimulation as well. Also, the more worked up I am the easier it is for me to orgasm.
So like Jenn said, you can masturbate before or during, or even have your partner use a toy on you if you wish. My partner loves doing that.
If you want G-Spot stimulation, I have heard that the Bent Graduate is awesome for that. It will help you to learn about your G-spot and get used to that stimulation but not necessarily orgasm during sex. Unless you are able to get a g-spot orgasm from it.