straight from wikipedia, i guess that to be honest there are no more risks or concerns that with any other form of sexual intercourse as long as one follows the normal guidelines and takes the right precautions:

Anal sex exposes participants to two principal dangers: infections, due to the high number of infectious microorganisms not found elsewhere on the body, and physical damage to the anus and the rectum due to their vulnerability.
Recent reports have documented that risky behavior is on the rise among men who have sex with men.[26] Likewise, among men who have sex with women, a 1992 study of socially and sexually active Puerto Rican men indicated that of the more than 40% who reported having anal sex with women, very few had used condoms.[27] Among gay men, anal sex without the use of a condom is referred to as barebacking.

here is the link to the entire page

http://en.wikipedia.org/wiki/Anal_sex