Here is a helpful link:
http://babywhispererforums.com/index.php?topic=70142.0Cooked apples and banana are both good choices.
You can try giving large chunks of foods she can hold on to and chew on, or if she has a good pincher grasp you can try pea sized pieces for her to pick up.
When starting out with fingers foods, babies don't know how to chew or swallow. That comes with practice, and there is often some gagging involved. This is totally normal and is not the same as choking. With time and practice you will notice her start to be able to handle these foods better. The important thing is to not panic when she does gag. I assure you it's scarier for you than it is for her.
There are no special kinds of bread to give to your baby, but I guess common sense it to aim for more healthier varieties.
Try not to worry, now is a good time to start finger foods, and the sooner she gets going with it, the sooner you'll be able to give her all kinds of new things!