Think big - start small If you want to get into the anal play area with comfort and ease I guess the best thing is to start with smaller dildo like the:

Blush UR3 Anal Starter

or a silicone alternative:
Sedeux Please

To grow up I'd suggest:
Pure Skin Player jr

The silicone alternative is:
VIP Super Soft

For Butt Plugs:

The best training of all times (after you grow out of the beginners toys):
Triple Ripple

Best Butt Plug (I guess many will agree):
Ryder

And finally my personal favorite among plugs:
Gapers Organic

Generally speaking that's my product advice. For lubes you have to look for yourself what suits you more. Just don't use silicone lube on silicone toys, it really kills them. The rest as usual, hygiene, foreplay, foreplay, lube -> and plenty of fun