Clockwise from top: Brass bottleneck bar, Scheerhorn Slide, Stevens Steel, Sinclair Steel.

What you play with is your choice. Many people today use a Scheerhorn slide, which is a copy of a bar designed by Ron Tipton. Anyone who got started more than about 15 years ago is probably very familiar with a Steven's Steel.  They are still very popular. I have personally used pocketknives, beer bottles, and Bic lighters.

The Sinclair Steel (Nanaimo, BC) is very similar to the Scheerhorn Slide, but the shoulders on the former are more sloped than the latter, making it easier to hold for smaller hands. Another good choice (not shown) for smaller players is the "Lap Dawg" bar by Dunlop, which is a bit smaller and lighter than either of the more sharply angled bars above.

I have a Stevens bar that I drilled out and filled with lead, making it a bit heavier than a regular bar. The idea was to practice with the heavier bar, and then switch to the smaller, lighter version later...like a baseball player uses a batting weight in warmups.