Male Chastity can be fun and a bestselling device is the birdcage device. It looks like a birdcage and is made of chrome plated steel which is easy for cleaning. It also has plenty of spaces between the bars to breathe and to urinate. It is an example of a steel cock cage that is available at this top adult shop.
Basic silicone devices are quite handy to have on. They do give plenty of room for urination as well, but the plastic sheath covers the entire penis. This particular device is good for sports. The plastic isn't nearly as weighty as the metal ones, but it leaves less breathing room, so it's important to remove it for cleaning and to keep clean after sweating in it.
The cock cuff is a half a sheath that leaves the tip of your penis open, but surrounds the middle and base of your cock in order to prevent erection. This one is stainless steel and is excellent for constant wear, because the open end keeps your penis cleaner than the devices which lock in the whole shaft.
When you go to purchase your first chastity device, or any device for that matter, make sure it fits. Allow room for your penis to move around a bit, but not to grow. You shouldn't be so comfortable you may become erect, but you shouldn't get choked, either.