He thinks it's cheating???? What in the world is that all about? Haha! Men are so silly some times! Let me ask you this, does he masterbate? I am certain he does. So what's the difference? Men have it so easy. They don't need any help. But us poor women some times need all the help we can get. Not only that, but what's wrong with enjoying your own body some times? I say spicing it up is the best thing for everyone.
Anyway, I would say, think about the things that turn you on when you are either masterbating or having sex. Do you like clitoral stimulation or penetration? That is the most important question because there are toys that are made just for one of those things and then some that are made for both. And of course there are some that are made for "other" things. I would pick something based on that. Also remember that you don't need to buy the most expensive thing in the store. Some times it's the cheap ones that work the best.
Some other things to concider...
Do you want it to vibrate or not? Lifelike toys that are made out of rubber are going to be softer and better for penetration. Smaller hard plastic is going to be better for clitoral stimulation. Concider if you need it to be quiet or if it doesn't matter. Some of them can be kind of noisy. Oh... and don't forget batteries.
Since your guy seems a little threatened by it, I would also start out kind of small. At least no bigger then him or he will really be bothered by it. Trust me on that one.

Good luck and hope this helps!