My boyfriend and I have anal sex on occasion. I had done it maybe 3 times in the past but with him it really turns me on. I think it hurts a little bit but after that I really like it. For regular sex (even though Im on the patch), we use the pull out method just for safety sake but not for anal sex and its amazing for my guy (but you obviously wouldnt want to do this if there was a risk of STD's) so its like a special treat for him to be able to finish his business with out pulling out... One time I was a little tipsy(ahh lowerd inhabitions) we had anal sex while he used my dildo vaginally and it was amaaaazing.
It's worth trying but you have to work up to it and be comfortable.
A funny side note...sometimes I am more sensitive than others and we were having anal sex doggy style... well he was about to cum and got supper excited well he thrusted harder than usual and i jumped and he slipped out and sprayed me all over my back and into my hair lol it was all very funny