I echo a lot of the sentiments so far that anal can be very great. It feels like the ultimate submission. I feel completely owned and possessed.
I do have to be really in the submissive head-space and very, very turned on. Sometimes a little alcohol doesn't hurt either. Just enough that I feel my inhibitions loosen. but you've got to be careful not to have too much because then you might not feel pain that is telling you to slow down.
Lubrication is also very important. Master usually has me lube myself up. It feels a little humiliating, a lot naughty, and just gets me in the mood even more. I'd recommend a towel underneath as well, things can get slippery.