Most of these toys are designed for women to use alone, although some, such as the strap-on dildo, are intended for use with a partner (of either sex). Others, like vibrating beads and such, make nonsense of the idea that every sex toy is or needs to be a substitute for a penis.
Assuming for a moment that you are buying a toy intended solely for your own use, there are a few questions you need to ask yourself....
Not every woman has the same tastes, and every woman is sensitive to different degrees in different parts of her body. When buying a vibrator, for example, you may want to take care that it does not vibrate at a higher frequency than you enjoy, as too intense a sensation can be quite painful. By the same token, you may prefer a vibrator for clitoral vaginal or even anal stimulation, depending on your tastes.
Size is another important issue, especially for dildos and vibrators. Although the vagina (and to a lesser extent, the anus) will stretch to a remarkable degree, there is an upper limit for each woman of how much stretching they can endure before the sensation becomes painful – and for maximum enjoyment, it's usually better to stop some distance short of this point. And there's no reason to get the biggest you can take if that's not your preference.
Related to this is the various shapes that vibrators and dildos come in. Unless it's what you really want, there's no reason why your sex toy should perfectly replicate a penis. There's a wide variety of options – dildos both softer and harder than an actual penis, vibrators that can rotate, or stimulate more than one part of the body at the same time, and so on. There's a lot of fun to be had experimenting with the different shapes, sizes and capabilities of various vibrators, dildos and other sex toys, and no reason at all why you shouldn't have as much fun as you want playing with them.
Now, there's no reason why any of these things described above should be a cause for embarrassment – no one has any conscious control over their tastes, or over the responsiveness of various parts of their bodies, after all – but for some women, it can cause a degree of self-consciousness. Depending on how you shop, you may be able to find a sympathetic retail assistant who can help you out, or, if you're shopping online, a trusted friend may be able to advise you. Either way, don't let feeling shy rob you of the chance to enjoy the pleasures of sex toys.