My first time.

Questions I recommend considering:
1. What types of sensations do you enjoy as part of your sex (if you've had sex with a partner) or masturbating with your fingers. Internally, do you like thrusting, angle, deep, shallow, filling, stretching. Clitorally, do you like direct pressure, broad pressure, firm, light, etc. Thinking about this and looking at the toys will give you a better idea of what style or type of toy you'll enjoy the most, the textures you'll like, etc. The more familiar with your body you are, especially from masturbating, the more likely you are to be able to successfully pick a toy you'll enjoy
2. What part of your body do you plan on stimulating with the toy? Vaginal (internal), vulva, clitoris, nipples, anal other erogenous zones. (Note: if planning to use it for anal and vaginal play, the ability to sterilize it is KEY, stick with glass, silicone and metal, ideally, or plan to cover the toy with a condom.)
3. For internal toys, what length and girth are you comfortable with/will you enjoy? Eden's search functions allow you to narrow searches by length, diameter and circumference. If you're new to penetration, stick with something small and smooth.
4. What kind of power supply do you want to deal with? Rechargeable toys are pricey, but batteries get expensive after a while. There's also some that have to be plugged in. If using toys with replaceable batteries, read reviews to find out how long the toy lasts on a set of batteries, how many batteries, etc. Same goes for finding out about length of charge on rechargeables as well as details such as length of cord, etc.
5. Where do you plan to use the toy? Will other people be nearby (ie: in the other room, etc.)? Will you care if they hear the noise a vibrator makes? Some are nearly silent while others are VERY noisy. Will the noise of the vibrator bother you? Some people get easily distracted by the noise. Also consider whether you want it to be portable and travel friendly. Is it important that the toy be able to be used in the bath or shower? If so, look for waterproof toys.
6. In the same vein, are others you live with likely to find your toy and do you care if they do? If so, you might want to look at discreet toys that don't really look like sex toys. Some are very clever or very well disguised. Also consider storage. Some toys come with a pouch or Eden sells them, as well as other storage solutions.
7. What type of lube will you be using, if any? Silicone does tend to dry up a lot of women's natural moisture so lube is often an important consideration. Silicone toys can only be paired with water-based and some oil based lubes. Silicone lubricants will harm them. If you use condoms in your sex life, avoid oil-based as these will degrade latex condoms. If you're a virgin and are new to penetration, I highly recommend a lube.
8. Do you plan on using your toy with a partner? This is a consideration for ergonomics. If using it during intercourse, the size, shape, etc may affect your ability to use it. Also, if using it with a partner, it's even more important to use a safe material so that bacteria and things don't get transmitted. This is an even greater consideration if you may be planning to share it with your partner in any way. Many people use condoms or toy covers to prevent contamination between partners if this is a concern.
9. How important is appearance and what appeals to you aesthetically?
10. How will you clean it? How easy is the toy to clean? Does it have material that is easy to clean? Are there crevices or seams that will make cleaning more challenging? Do you need to buy a toy cleaner? I like System Jo's foaming toy cleaner. Whether a toy is waterproof or not affects how you clean it too.

I'm sure I've addressed a lot that you're not even concerned with but I wanted to be as thorough as possible. You know your body better than anyone so think about what you'll enjoy, narrow down the search parameters, pick out a few that you like the look of and read some reviews. Some of it will be trial and error and you may not end up absolutely loving your first toy but doing some research will help make sure it's at least a good experience. And don't give up if the first toy you get doesn't work for you because there are thousands of thousands of toys with different shapes and sizes and quality of vibrations and materials and many other variables.

Also, here's a link to Eden's Vibrator Buyer's Guide. Good luck and have fun!