If you are new to fantasy shapes: start with a unicorn horn. The smooth spiral is the gentlest texture in the group. Before you buy anything bigger, check the diameter at the thickest point, not the length. The fantasy dildos page explains why.
If you want to build a scene: pick a theme and match all of it. A mermaid set with shell pasties and a sea creature toy, or a fox tail with ears, turns a toy into a character.
If you want to wear it: look for a flared base. That is what an O-ring harness grips. A themed harness finishes the look, and harness compatible dildos lists the shapes that fit.
If you want hands free: go for a grinder or a machine. Grinders sit on the bed and you set the pace. Machines do the moving for you.
If you are into pet play: get a tail and ears set. Matching pieces read instantly, and a tail with weight moves with you. Start a size smaller than your usual plug.
If you want the full creature effect: add a creature lube. Colored and cum-look lubes are part of the fantasy for a lot of people. Lay down a towel, since colored lube can mark fabric.
On materials: water based lube with silicone. Silicone lube breaks down silicone toys. Glass works with any lube.