I am fairly new to anal, only over the last year I have really started to explore it. I have had a few different experiences.
My initial experiences were not great, I was always really tense, because neither me nor my partner at the time had really done anything, and anal play always meant him trying to get his cock in and it always hurt and I honestly never saw it happening.
I have since explored with a new partner, using lots of toys, when I'm super turned on and it's a totally different experience and is most definitely enjoyable.
I have done, and do sometimes do anal play alone, but it is for me much more enjoyable with someone, but I do have a butt plug that is great for solo fun. I don't use my fingers though, purely because I don't really enjoy it, toys though are better for me.
I bought a douche when I started play, but I never use it now.
I actually read this book, after it was recommmended to me when I started a similar thread a long while back and it's great
http://www.lovehoney.co.uk/product.cfm?p=1554
These are some of the toys I've found most enjoyable and useful.
http://www.lovehoney.co.uk/product.cfm?p=16053
http://www.lovehoney.co.uk/product.cfm?p=16665
http://www.lovehoney.co.uk/product.cfm?p=16726 Size wise this is fab for a beginner, I really enjoy it when I am on my own.
http://www.lovehoney.co.uk/product.cfm?p=24636 Anal beads are lots of fun and the first thing I tried and give great sensations
http://www.lovehoney.co.uk/product.cfm?p=12177 Again nice and slim so good for a beginner
Just take your time, experiment together and alone, there is definitely enjoyment to be had, it's just finding what works for you I guess xx