As others have posted the key to pleasurable anal sex is being physically and psychologically prepared to accept a cock inside you. It's also essential to have a partner who is considerate, clean and STD and HIV free. Regardless I recommend that you always use condoms and a water based lubricant like Astroglide. As Rachel stated while playing with toys and dildoes is helpful there is no substitute for a cock. The sensation is much more intense! An anal trainer set of butt plugs helps loosen your tush up for the event.
I had my first anal experience as a transgender about four years ago. The first time it felt good but I didn't cum. I think I was too nervous. The second time was incredible. It was a few hours after my first experience with the same partner. When I felt his cock thrust deep inside me my cock grew rock hard and eventually I shot my load all over the sheets from the sensation of him sliding in and out of me
I've been having anal fairly regulary ever since and only regret that I didn't try it sooner! Relax and enjoy it!