What do you want to do with it? Put it in and leave it (plug), thrust with it (probe or dildo), or have it buzz you (vibrator)? Fingers can also make very good playthings down there.
The one general thing I can say is go for silicone for your first couple of toys. It's soft, sanitary, and doesn't release anything that can mess with you. After you're more familiar with anal play glass and metal toys can be added to the mix, but start with silicone.