One of our most successful first plugs was a cheap plug from adam and eve. With their half off coupon you can get it for around $8. The narrow tip is a good started plug. It is very soft and has a good vibration. This vibe also stays in well which is a big plus.
http://www.adameve.com/adult-sex-toys/vibrators/anal-vibrators/sp-clear-pink-passion-plug-small-3988.aspx
The Tantus B Bomb and Zing are good choices for a high quality no wires vibrator. Tantus also has some good non-vibrating options.

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