Efetish, the experience you describe is certainly common for anyone who has discovered the ability of anal play to intensify sensations and enhance their sexual experiences. Only because you ask, I will admit (as politely as I know how!) that when I masturbate while wearing a butt plug I also tend to experience greater levels of pleasure than I do without a plug.
The scientific explanation is that typically, the anal/sphincter muscles are included in the group of pelvic floor muscles that involuntarily contract repeatedly throughout an orgasm. This occurs in both males and females. So when a person has a plug or a finger inserted anally, the orgasmic contractions cause the anal muscles to really clamp down on the inserted object. This significantly intensifies the contractions experienced during an orgasm. You feel these muscles working more when they have a toy or something up against them providing resistance to the muscular activity. It is sort of like when you raise your hand over your head while holding a dumbbell compared to raising your hand without holding anything at all. You just feel it a lot more with something there. And the intensified sensations from having something in your ass during an orgasm creates a certain pleasurable throbbing in the anal area that tends to affect the genitals with intensified pleasure as well.
Wearing a butt plug during any sexual activity, including masturbation, is therefore a great way for anyone, male or female, to intensify their orgasms. In fact the main point of anal play is to enhance the sensations of arousal and orgasm. It also just plain feels good for people to put something in their butt, as long as they take their time, relax, and use a suitable and well-lubed object. Since it is so natural for anal play to enhance arousal and orgasms, it is a bit of a shame that people have a sense of a stigma about it. Then again, perhaps the fact that many consider it taboo is one more thing that makes it all the more exciting to do, for some.
Another reason why anal insertions enhance pleasure, particularly an orgasm, is your anatomy. In females, as you may know, the clitoris occupies a significant area inside the pelvic region and parts of it extend all the way back to the anus. The anal stimulation you experience during arousal and especially orgasm is therefore probably also internal clitoral stimulation. It is very important to excite the inner portion of the clitoris (through massaging the outer labia, vaginal penetration, and anal penetration), as well as the "glans" on the outside which is only the very tip of it even though most people think the glans is the entire clit.
Further reading on internal clit:
http://www.zity.biz/index.php?mx=forum;ox=display;topic=66656
http://blog.museumofsex.com/the-internal-clitoris/