Ummm... I might have to disagree with fetishdj, I've had anal sex many many times without lube without any kind of prior 'training'. In fact, the very first time I had it, all we used was a little bit of spit. I've never really liked lubed personally- and usually prefer to get as aroused as possible to just be able to take the pain without having to deal with it.

However! I do know many people strongly advocate it's use- so I would have to say that it is probably best to use it.