Ben wah (duo) balls can work well. A former slave of mine used to be sent out for groceries with one ball inserted in her arse and the other swinging between her legs (no underwear *grin*). Though the one in her butt was in a condom cos of hygiene issues (those things are not conducive to proper cleaning though its easier if you decide to have a set just for your butt) and also to deal with her concerns about it getting stuck. But she is a *very* anally responsive individual so the combination of humiliation/fear and the direct stimulation was very powerful.
And after that?...well anything you can desire or imagine. Round and smooth is a good start of course.
Vegetables, pencils, bottle necks (consider using lube though), pieces of ginger (look for web stuff on 'figging'), toothbrushes, those long strings of anal beads, those anal toys with big ridges or balls moulded onto them (look in the gay section of your local sex store)...
And yeah...just be careful and slow the first time you try each new object.
Enjoy it!
J