Pick an enclosed litterbox for a bit of privacy and add a handful of hay for the comfort factor. Bunnies love to chew and what's more luxurious than a little snack while you piddle?
As for what type of litter you should use, try to avoid clay based litters and litters with deodorant crystals. Both can cause health problems for your rabbit. Oat or alfalfa based litters are a safe choice, as are shredded newspaper and compressed sawdust pellets.
Training your rabbit to use the litterbox is as easy as finding his normal bathroom spot. A rabbit may poop in more than one location to mark his territory, but he will usually only piddle in one location. Place the box there at the piddle-spot, and see if he chooses to use it. If he picks a new bathroom spot, move the box there until your bunny gets the idea, or place a second litterbox in the new bathroom. Sooner or later, he'll get the idea. Adult bunnies are actually easier to train than young ones! Just remember to be patient. Rome wasn't built in a day, and your rabbit won't learn to use a litterbox in one day, either.
If you catch your rabbit urinating in an inappropriate spot, you can herd him towards the litterbox. Please don't force him, you don't want to teach him that using the litterbox is a punishment!
A word of warning: rabbit urine is QUITE odiferous. You should change the litter at least once a week (more often if your rabbit lives indoors, as the scent will seem much stronger!). However, it doesn't hurt to save a bit of last week's litter to mix in with the fresh litter. The familiar scent will put your rabbit at ease.