Tails can be sub-divided into two broad categories: butt plug and non-butt plug. The materials used for ponyplay tails varies considerably: from cheap synthetic material to real horsehair. Moreover, the quality of the plug portion of butt plug tails also varies considerably with the nicer ones having metal or glass plugs.
The image at the right on top illustrates a quality metal butt plug tail with real horse hair for the tail portion. Just below that is a tail with a glass butt plug. Of course, making a tail yourself is a viable option, and it offers more versatility in choosing the correct thickness, color, arch, etc. of the tail.
As the name suggests, butt plug tails consist of a butt plug, which is inserted into the anus, and a tail part which is attached to the end of the plug. The advantage of the butt plug tails, (aside from its feature as a butt plug, if you like butt plugs) is that it offers fairly realistic tail movements and the attachment point is not easily seen. A butt plug tail can give the impression that a pony has a real tail. Additionally, if you like electrical play, you could buy (or make) an electrified butt plug tail.
The disadvantage to the butt plug tail is that it could fall out during movement if it is not held in the butt. While I have never actually seen this happen, it definitely could happen with small or improperly shaped plugs. However many harnesses either have straps to hold in a butt plug, or such straps could be added relatively easily. The image at the right shows the more common ponyplay butt plug tails, which are relatively inexpensive and fairly widely available. The plugs on these tails are rubber based (so you should definitely not share) and come in different sizes. I've tried both sizes, and I prefer the larger plug (the smaller plug will easily come out if it is not held in by strap on the pony's harness).
Non-butt plug tails attach to a pony various manners; the most common method of attachment is via the pony's harness. Non-butt plug tails can also have an arch to them, which is hard to get with most butt plug tails. Although I do have several butt plug tails, I mostly use a non-butt plug tail that attaches to the waist belt of my harness (see photo on the left). I personally prefer this because it can be easily detached to allow me to sit down during breaks in longer play sessions. Also, the non-butt plug tails seem to be able to achieve a more realistic arch to the tail. Moreover, a butt plug can still be used in addition to the attached tail (e.g. an electrified butt plug).
So which to choose? Obviously if you don't like butt plugs, your choice is made. However even if you enjoy ass play, I would still urge you not to rule out harness or belt attached tails. As I mentioned above, you can still wear a butt plug along with a harness attached tail. To me the biggest difference (aside from the plug) is that more realistic tail movements can be achieved with a butt plug tail due to the tight integration of the plug with the pony's muscles. Tail swishing with a butt plug tail looks far better to me than with a harness or belt attached tail. Conversely, a harness attached tail will give a more realistic "hang" or arch to the tail when your pony is two legged. Moreover, the location of the tail looks more anatomically correct (again as a two legged pony) with a harness attached tail - it looks like it is coming off the tail bone.
There are a couple butt plug tails which try to achieve a similar arch by using an "S" type curve. I believe JG Leathers makes something like this. Also one of the Huse ponyplay tails is designed like this. However, it is hard for a butt plug tail to get the positioning and arch of the tail correct for two legged work.
For two legged ponies, I think it can be a hard choice between better swishing (plug) or better arching (harness attached). This balance is tipped in favor of the harness attached for me due to the convenience of attachment and the fact that I don't do much (purposeful) tail swishing in two legged mode. For four legged ponies, I think the plug tail is by far the best looking in all respects. The positioning of the body in four legged mode means (at least to my eye) the plug tail appears to be positionined correctly (if you ignore that is coming out the ass of course) and has a nice arch. Thus, my current preferences are a harness attached tail for two legged work and a butt plug tail for four legged work.
For the longest time I exclusively used non-butt plug tails because I was not really into ass play. So it wasn't until relatively recently that I went looking for butt plug pony tails, and surprisingly, there don't seem to be many high quality plug tails available for ponyplay. Now don't get me wrong, the rubber based plug tails are great: they're inexpensive, they're available in various sizes, and they do still look hot. I would highly recommend starting with one of the rubber plug tails (unless you're allergic of course). But, what if you are allergic, or if you simply want a higher quality toy? Well, there are some other options available:
In the process of looking for butt plug tails for ponyplay, I inevitably stumbled upon butt plug tails for other (non-pony) animal role-play. I put a couple that looked especially interesting below since I realize as hard as it can be to find ponyplay gear, it is often even more difficult for other animal role-players, and us ponies do like to play with other stable critters: