Most important thing is; do not use cheap brandless OBD2 adapters. They are poor clones of proper adapters, will not support all protocols even when advertised to do so, and probably will fail in couple of months.
We have been using adapters from OBDLink for years without a single issue. If you are serious about connecting to your vehicle, do not use low quality OBD2 adapters. Purchase a high quality OBDLink adapter from these links: