First thing to start with: fingers. You probably have some, and they're sensitive and small. A glove can be used to smooth out rough skin, but trimmed fingernails are best, though some cotton balls can be used inside a glove to cover long fingernails if you have them. Fingers let you figure out the lay of the land and if you like anal play before investing in a toy.
After that you need to ask yourself what kind of play you like. If you like thrusting, get a dildo. If you like something staying in place then look at a plug. Instead of true "beads" I recommend "bead sticks" because you can thrust with them and they're much easier to insert. No matter what you get I recommend silicone to start with. It's easy to clean, soft, and 100% safe.
Lubricants are up to you. The anus doesn't have nearly as many restrictions as the vagina. Sometimes people can be sensitive to chemicals, and if you are using a lube with these chemicals is no fun (burning pain). Try some out first to see what works and what doesn't. I used to worry about glycerin, as it is used in suppositories for the laxative response, but I no longer do - there isn't enough in lube to cause a problem.
Water-based lubes are a good place to start - thick is better for anal than thin. Oil lubes can be good as well, since they tend to stay around longer and "stick" better to silicone toys. If you're careful silicone can work as well, but some silicone lubes can bond to some silicone toys.
