When it comes to sex toys, it’s virtually impossible to try before you buy. Don’t let that stop you from making a well-informed purchase. (Note that these tips are written as if you're buying for yourself, but if you're buying a gift, they still apply -- just consider the recipient's tastes and desires everywhere we suggest you think about your own!)
1. Pick your poison, um, pleasure. Sex toys come in all shapes and sizes, intended for a variety of uses. For instance, external stimulation or G-spot play? Self-pleasure only or fun with a partner? Start by knowing what you want your toy to do. (Wikipedia has a good rundown on the basic types.)
2. Decide what matters. Beyond being good at feeling good, what else do you care about? Think about the when and where -- if “you” time is in the shower, look for waterproof; if you want a travel companion, consider weight, looks, and charging mechanism. Do you care about aesthetics? Materials? Price point? There’s no right or wrong -- just know what matters to you so you can find a good match.
3. Get a “professional” opinion. Toy boutique staff and sex toy bloggers aren’t inherently more qualified than the rest of us, but they do have more toys to compare. They can help you identify options or see how a particular toy stacks up. But remember that even a so-called professional opinion is still just one individual’s personal opinion, so...
4. See what real users have to say. You’ll find first-hand user reviews on many retailer and manufacturer sites. Read at least half a dozen for any toy you’re considering. If you keep your own criteria in mind, you can leverage the wisdom of crowds...even to pick a product as personal as a sex toy!
Some other helpful (but NSFW!) online resources to research toy options:
* Wikipedia has detailed entries on many individual types of sex toys in addition to the overview here.