As far as I can tell the best first anal toy is a finger with a short, smooth nail. Put a glove on to make it a bit smoother and less trouble to clean up and there you go. Cheap, safe (the person with the finger can feel what's happening), you can add another finger if you want it bigger, and everyone has five to ten.

After that I'd say look for a smooth silicone toy of about the size that you like in "fingers" (use a tape measure to convert between fingers and circumference). If you're male you might like something with a curve or bump for the prostate, if not it doesn't matter as much.