DON'T use a lube that has a numbing agent! You WANT to be able to feel what's going on. Anal shouldn't be painful! Pain is your body's way of say, "hey! something wrong!" You should take as much time as you need to warm up. There's no rush.
A nice thick lube would be best. I've only used Sliquid Organics Natural for my (minimal) butt play. It worked quite well, but I am interested in trying to some thicker lubes for my bum. I know Sliquid has a lube for anal play called Sassy Booty, but I've never tried it.
I know a lot of people like Maximus. I'm sure some other folks with more knowledge about the different lubes will be along soon with some recommendations
Oh, and be sure to use lots and lots of lube!