Anal sex isn't safe if you're doing it with a stranger, doing it without a condom, or trying to rush it and pound it like you would a pussy. Anal sex is something that's very delicate. . .you absolutely CANNOT expect to have him go all the way in you the first time. Otherwise, there's a very high chance that you'll bleed, and trust me: you DO NOT want a wound that's continually torn open and infected every time you have to use the bathroom.
If you have a safe partner that's willing to give you all the time you need, getting fucked feels really good. If you can't find someone that's willing to give you more than a few tries (as in, at least three or four separate encounters) before you start enjoying it, just finger yourself and/or use a dildo instead. Don't expect to comfortably get more than about an inch inside of you the first time, and if it hurts? STOP and try again later.
And, as was said before: The more lube is used, the less it will hurt.