Anal sex feels incredible because of all the nerve endings in our anus (male or female). Those nerve endings in the anus can produce orgasms in some people. You can stimulate those nerves via tongue, finger, vibrator, dildo, or penis.
The other part that feels incredible is for men. You lucky bastards! So when men experience anal intercourse the person topping them either male with his cock or female with a strap on cock (known as pegging) slide over the anal wall covering the prostrate gland. The prostrate gland is also known as the Male G-Spot. The man receiving the anal (aka bottom) can receive two types of orgasms. He can orgasm from the anus nerve endings being stimulated or the prostrate gland being stimulated or rubbed up against.
Always use lubrication as there is not enough or close to no natural lubrication in the rectum. Be Safe and Enjoy your orgasms!