as usual, the two lovely ladies have said almost everything in such a complete way that i have little useful to add. having had some experience on both ends of the equation i can go into some specifics
lube: water based, of course. astroglide is the most versatile for anal play imo. i have a friend who swears by KY silk-e, but i find it not to be thick enough. they make lubes that have numbing agents, but i recommend against them, especially when one is starting out. the pain sensation is there for a reason, dont block it, and when it appears listen to it.
toys: for a beginner there are toys designed for anal play that are better than the standard vibes and dildos. Doc Johnson makes a reallly good one that is narrow, easy to use, flexible, and has a wider base that prevents problems. if i can find it online ill link it so you can see the model im talking about
position: for solo play you have a lot of options for getting used to penetration and sensation. i recommend a standard "gyno" set up with a mirror for exploration (yes, for guys too) once you have a "feel" for what goes where you can switch out, but i've found over the years that being able to see what you are doing is helpful at first.
with a partner the situation shifts a great deal. doggie position certainly allows for easy access, but has a lack of control on the receiving end. a modified missionary works better in the early stages in my experience. being able to communicate face to face helps ensure a lack of misunderstanding. plus with the knees drawn up to the chest and spread the greatest amount of opening is provided to the muscles of the anal sphincter and surrounding connective tissues. both of these require control and patience on the partner's end. if the "receiving" partner is on top they have more control and the same opening of muscles is achieved, but for some reason a lot of women seem not to enjoy it as much (among my partners anyway)
found it!
http://www.sextoy.com/quick_view.php?pnum=DJ0408-00 not the absolute best toy ever, but great for a beginner