As already said here, you have to take care of the hand that's supposed to do this, by having manicure and washing, and using lots and lots of lube. While a good idea to start by using a surgical glove, I feel this is more of a personal preferance as long as you abide by the other "rules".

Why do men want to do it? Well, men are certainly not alone in wanting to do this. I saw a video of a band called Rockbitch where the lead singer fisted the bass player on-stage (all-girls band). I have my idea of why it appeals to me to think about it, and it has to do with control. As long as you don't have a cock the size of a firehose, the woman is free to eject it at her own pleasure. When she has your whole fist inside of her, this isn't likely to happen. If you don't make a fist per se, but only use all your fingers wedge-like, as soon as they are inserted, you trust your lover to be in control. If the person doing the fisting wants to hold onto you, he/she can simply start forming a fist. This would be the equivalent of a dog's knot. Not impossible to eject, but extremely painful. So, for me it's about having gained the trust of the person I will be with.
It's also simply fascinating. Almost no men can do this, or want to do this because of the difference in anatomy. And that is one of the main things we men are drawn to women in the first place, I believe.

On long-term effects, I don't have much to offer. Some women are capable of having a baby and not get "loose" down there, while others can't. But training will help with that. The groin is the least practiced place for both sexes. Train it, and you will get a firmer vagina. Train it, and you will have a better control of your erection and how to use it. The best part: You can do it whenever. To teach yourself which muscles to contract, try cutting off the stream as you pee. Then, tighten, hold for a few seconds, and release those muscles anytime, anywhere. As women, you may also get additional help from inserting weights. But get help to get it inserted right, or it will work against its meaning. For men, hanging a towel on your erection and bobbing it up and down will do the trick.

Hope my ramblings are of any use.