So, probably like many here, my first attempts at anal were abandoned due to it seeming impossible/painful. Thankfully the internet was at hand to guide me.
I did start with fingers (thumb to be specific) and a variety of small objects. As a teen I wouldn't have dared purchase a toy, don't think it ever crossed my mind.
So anyway, the first time i had anal sex was with a friend. I used some body lotion I had handy, lube is definitely more recommended, but anyway I inserted one finger, then two and did the scissor opening motion to slowly stretch myself. I had him lie on his back, this is almost always my preferred position to start off with. Reason is that I'm mostly in control of how far and fast he enters me, other is I find it easier to concentrate on relaxing back there and even 'pushing' as though you are on the toilet.
Anyway, with that in a matter of moments he was well and truly balls deep inside me and went from there.
I hadn't encountered enemas or dildos or anything, just took my time, prepared and relaxed. Once its in and you're relaxed there's really only enjoyment to be had, lots and lots of enjoyment.