Depends what you want.  A comfortable widening of the Love-muscle or a deeper contact with the Prostate or ( better still, the Sperm sacs )
I have occasional anal urges which demand self-satisfaction ( that is when someone else is not on the job ) and I have to urge you folks not to use anything narrow or non-bulbous.  There are very real dangers that you might damage the walls of the colon with a resulting nasty infection or at the worst peritonitis.  
So the answer is Not too hard, and Not too soft.  Made to purpose is definitely best, after a real person, that is !  Glass OK providing it is solid and a bona fide glass dildo.  Veggies ?  Well, warmed courgettes are a good all-purpose hole-invader.
So fuck it and see ( or at least fuck yourself ), and BE CAREFUL ! !