Slides are cheap, so you can buy a few and see what you like. When I first started playing slide, I used a craftsman
spark-plug socket.
Things to conceder are:
The fit, You want it to fit tightly enough so that it won't fall off.
The weight, If you guitar has a low action, you'll want a slide that is somewhat light, so you won't "fret out." I like to play with a heavy slide, but I have one guitar set up for slide with a high action.
The length, it needs to be long enough to reach across all the strings, unless you plan on playing a lot in standard tuning. If you are, you could get a short one like Muddy Waters used.
These days you can buy slides made from brass, glass, ceramics and they make some that are chromed as well. The metal ones sound a little brighter, while the glass ones sound a little warmer.
Also, if you are just starting out I'd like to recommend a video for you to watch.
Click here.