The first rule of anal play is lube, lube, and more lube. Rectums do not produce their own lubricant the way vaginas do, so if you're going to be sticking anything up your bum you need to grease it up first. Everyone has their own preferences when it comes to lube. For anal play many folks (myself included) prefer lubes which are thicker and have more 'staying power.' You also need to be careful that whatever lube you choose plays well with others. Oil-based products (such as vaseline, hand lotions, and many others) will damage latex items like rubber butt plugs and - most importantly - condoms*. Silicone lubricants can instantly bond to and ruin your beautiful silicone dildos.
The second thing you need to have in abundance when embarking on a journey down the "Hershey Highway" is patience. No matter how thrilling it sounds you probably won't be happy taking large objects in your bum on your first time out (or rather, in). Start off small, with things like slimmer plugs, anal beads, and fingers. But be aware that many people find fingers to be more irritating than larger objects. I don't know why this is; maybe because they're so wiggly? Step the size up gradually, as the external sphincter learns to relax.
This is actually where the 'training' comes in, because the third thing you need for really great buttsex is practice. Don't expect to be ready for vigorous thrusting right away. Heck, don't expect to be ready for anything right away. Start off by just making friends with your anus: touching it, letting your lover touch it, maybe even throwing in a little rimming. Take things nice and slow; seduce your asshole. It will thank you later.
It's quite common in BDSM play for dominants to order their submissives to wear butt plugs. This is actually a pretty good idea for anybody interested in getting maximum enjoyment from being buggered. By gradually using larger and larger toys, and inserting them for longer and longer periods, you train the muscles of the external sphincter and anal canal to relax (and enjoy!) being penetrated. Plus it's incredibly hot to be, for example, running to the store for a gallon of milk, all the while knowing you have something in your ass. Start off with 10 or 15 minutes of plugging and of course be prepared to take it out sooner if it hurts.
When I talk about taking things slowly I mean taking days, weeks, months, or even years to develop your butt-bangin' potential. You could experience loads of ass happiness without ever taking a penis in your poop-chute! But if and when you get to the point of anal intercourse it still helps to go slowly and use smaller objects (like fingers) to open up the anus first. One trick I've learned is to slide only the first couple of inches of the top's cock (or strap-on, or whatever) into the bottom's bottom, then take it out, rest, and repeat. Completely removing the penetrating object and giving the anus a couple of seconds to chill before sliding back in often seems to convince your bum that whoever's knocking on the backdoor is a friend and it's okay to let them in. I know it sounds silly, but trust me, it works.cleaning your toys and fingers, and whatever else you're using, between play sessions. You should also avoid putting anything that's just come from someone's butt into a mouth or vagina, lest you transfer any nasty infection causing bacteria along with it. If the thought of accidentally touching shit really freaks you out you can always try using enemas as preparation. But that's a subject for another time.
Oh yeah, and one last thing - anything you stick in your butt needs to be easily retrievable. Good anal toys have a flared base or handle for this purpose. A flared base also helps keep toys like butt plugs from going completely inside the body. You really don't want to have to fish around in there, trying to find a lost object, now do you?
*While it's true that a woman is unlikely to get pregnant from receptive anal sex, bottoming carries a much greater risk of contracting STD's like HIV and herpes for every gender, so using a condom is still a damned good idea.
In case it's not obvious, I love me some buttfucking! If you've got questions about anal play or other sexy subjects feel free write to me at email@example.com