Okay so you want to buy an anal toy. First things first you need to know what you're shopping for. What kind of toy you want, what it's made of, how big do you want it, do you intend any other users, so on and so forth, but that's why we're here to guide you through.
Before anything, remember basic anal safety: go slow, use plenty of lube, and stop/slow down if it hurts. Pain is nature's way of telling you there's something wrong. The anus is much more delicate than a vagina or a penis and damage can lead to much more serious complications due to the nature of the area. Never use a toy without a hooked or flared based and never use a toy where the base is easily detached. The base prevents you from losing the toy inside yourself, and thus any embarrassing trips to the hospital! Now, for the key steps broken down.
Step 1: What kind of toy?
If you've never used an anal toy or engaged in any kind of anal play before you're going to need some self exploration. Either use your fingers or enlist the help of your partner. Take time to poke around and learn what you do and don't like here. Don't feel bad if you don't personally enjoy it, there's nothing wrong with disliking anal play and there's nothing wrong with liking it. If you don't like it, buying an anal toy probably won't change this. If you'd like to see how you feel about vibrations and have a vibe on hand, try inserting the vibrator into a condom and pressing the vibe against the anus or perineum (that bit of skin between the genitals and the anus) to stimulate the area. Don't try inserting it unless it has a base, you might lose it because condoms can be slippery.
Pros and Cons Of the Various Anal Toys.
With that little bit of exploration out of the way, you need to consider what you want the toy to do. For those more advanced users, do you just want something to wear under your clothes as a naughty little secret? Look into a basic plug with a slim comfortable flared base so it nests between your butt-cheeks without interfering with day to day activities, or maybe a wide based one to spread your butt-cheeks open under your clothes for more of a challenge. Want something to add to regular day to day sex? Look at a basic plug with some heft to it or consider anal beads, remember to make sure it can't be accidentally gobbled by your bottom beforehand. Anal plugs can make the vaginal canal feel smaller/tighter or can stimulate the prostate of male penetrating partners, and can stimulate the extra sensitive nerves of the sphincter or give you something to clench down on to add to your orgasm. Inserting anal beads can make for some fun foreplay and can also be felt through the vaginal wall, though they're at their best during insertion or removal. (Do not forcibly yank out anal beads, just don't.) Just looking to stimulate your anus? Look into anal plugs that vibrate or even dildos. Plugs will stimulate the nerves nicely but vibration isn't for everyone's butt, some will get by just fine with the feeling of a nice smooth dildo thrusting in and out. Looking for prostate stimulation? Look into the wide variety of prostate massager or dildos. Some people prefer vibrations against theirs, some like a strong thrusting against theirs, some just want a bit of pressure. There's a huge range and a lot of pieces can fill more than one need. Get a feel for where your prostate sits and pay close attention to the dimensions of the product to make sure it can work for you.
Step 2: What do you want it made of?
The big thing to remember is not all materials are right for every toy. Porous materials in an anal toy might not necessarily harm you, but they can trap odours and if you can't sterilise them you can't share them. There's nothing wrong with getting more than one toy in that case, just don't mix them up. Materials like metal, glass can be sterilised, won't trap odours if you clean them properly but they have no give to them which can make them less manageable than toys of a similar size…and they can be heavy. Materials like silicone are soft, can be sterilised, but it will retain some odours without a thorough sterilising clean every now and then. Also an unfortunate number of companies will claim non-silicone materials to be silicone, be aware, check the reviews and only buy from reputable sources. Materials like rubber, PVC and TPR are cheap and soft, but can trap odours and can't be effective sterilised so you won't want to consider sharing these no matter how hard they're cleaned. Consider using a condom while using one so they don't start to smell.
Step 3: Get shopping.
Now that you might know a bit more about what you want/need, you just need to find it. Google any item that catches your interest to see what others thought of it. If you're having trouble finding something, look for a forum, there's no shortage of people to ask and look for advice from without sharing your sex life with the whole world, someone else may have just the answer you need.