As for anal sex, it’s true that a lot of people do experience some pain or discomfort the first time they have it or the first time they have it with a new partner. That’s mostly due, however, to a lack of communication, cooperation and often not enough lubrication. It isn't because there is something inherent to anal sex that means it has to hurt. When you’re having anal sex, or more specifically anal penetration, your sphincter muscles are being stretched. They are muscles, though, and as long as they are properly stretched, there is no harm in exercising them. Safe and pleasurable anal sex requires you to be able to relax these muscles, not simply learn to tolerate the pain of them being stretched. If your technique is to grin and bear it, you aren't having safe or pleasurable anal sex.
Another aspect of anal sex that may cause discomfort is the feeling of fullness or pressure in the anal canal and rectum. Barring any physical conditions, this discomfort isn’t necessarily your body saying “no” as much as it is your body saying “what’s this? I haven’t felt this before." You may find that you don’t like that feeling, and if that’s the case, anal penetration probably isn’t for you. Some people, though, find that once they get comfortable with the sensation, there is pleasure behind the novelty.
It is possible to have anal sex without ever experiencing pain, but it does take some extra work. Here are the key steps to having anal sex that never hurts:
Start on your own through anal masturbation.
Talk with your partner about it, and be sure that you’re both comfortable talking during anal sex, so you can slow down, stop or change what you’re doing, if need be.
Always use lots of lubricant.
Always start slow, never rush anal sex.
If you’ve done all of that and still find anal sex to be painful or uncomfortable, there are at least two other possibilities: One, there may be a physical situation or condition that is resulting in pain during anal sex -- you may want to talk with your doctor about this. Two, you may just not like anal penetration. Lots of people don’t, and some people like anal play without penetration.