Currently, my favorite anal dildo (as opposed to butt plug) is a silicone model from Vixen Creations. I own two of their handcrafted toys, and I've been very happy with both. For a beginner's style, you might check out the Fever review by Captain Jack. It's technically a plug, but to my mind, the shape is more effectively a dildo.
Sorry, I just realized that review's shopping link is "broken" in the sense that Adult DVD Empire is not carrying the Fever toy at the moment. Try the Vixen Creations site directly. You might also look at Buddy and Willow. They have curves for stimulating the prostate.
I wish I could remember the brand name of my dildo, I got it last year in a nearby adult store, it had a man's name on it, I think! Anyway, I had been practising using fingers and the dildo I got was a 7". I really enjoy it, I didn't think I needed to start off too small. Then I added a mid-size butt plug to my stash, which I work up to after the dildo. Pretty darn exciting!
Maybe you should consider a small jelly buttplug for about 10 dollars, Doc Johnson also makes a natural thin 7" dildo for their vaculoc strap on line for about twenty dollars. Both would be good for a beginner. You might want to check into anal beads, start out with medium. An expandable butt plug could also be something interesting.
I wish there was a catalog on the menu options of some of those Jules Jordan DVDs, where you could click on which toy featured in the movie you like. I know the toys are credited but it's almost like you gotta take notes or a digi pic to carry with you to the sex store for purchase.