The best kind of lube to use as a butt sex beginner depends on several things: whether you're going to be using toys or condoms, whether you'll be playing in water, and of course your own body and preferences.
If you're using latex condoms or rubber toys you should never use oil-based lubricants, as they can damage the latex. This means no Vaseline and also nothing like cooking oil or hand lotion. You'll want to look for water or silicone based lubes instead. Many people love silicone-based lubes because they're so long-lasting and super slippery — both great qualities for anal play. On the other hand, if you're using a silicone toy you should avoid silicone-based lubes. They can bind to the material of the toy and ruin your pretty (and sometimes expensive!) new plaything.
Silicone lubes also hold up pretty well under water, as do oil-based lubes like Vaseline. Lots of anal newbies prefer to play in the shower so that anything icky they might encounter gets washed right away. The problem here of course is that you don't want your lube to wash away! So you need to look for lube with extra staying power and water resistance.
The products most commonly sold as sexual lubricants are water-based, with ingredients like glycerine and aloe used to thicken them and add slipperiness. I used to use a lot of Astroglide as it's cheap and readily available (you can find it at WalMart). In the past few years I've switched to a lube called 'Slippery When Wet' that's much harder to find, but my male slave strongly prefers its aloe and vitamin e formula to the sometimes sticky glycerine formula of Astroglide. And I like that it's thicker and "goopier," which makes it a bit easier to manage when applying. When screwing in the water (cause hey, some of us just LIKE doing it in the shower!) I go with the old standby Vaseline. It simply has better staying power than anything else I've tried for underwater play. In fact I keep a travel-sized jar of Vaseline in my shower just in case.
There are lubes on the market that contain topical anesthetics like benzocaine. Sometimes these are marketed as stay-hard creams and sometimes as anal lubes; in either case they work by deadening sensation in the skin. Although this might seem like the perfect solution when you're just starting out and going "ow that fucking HURTS!" I do not recommend them. That pain serves the practical purpose of forcing you to go slowly and it keeps you from trying to shove in more than you can handle. Remember, excessively enthusiastic anal sex can cause real injuries! Also, the deadening effect you may want on your butthole will also be transferred to whatever other flesh comes in contact with the medicated lube. If you're having trouble with pain while butt-fucking, then maybe numbing the dick that's ramming your arsehole just isn't the best idea.