I love the physical sensation of the plug entering and nestling into position. I prefer plugs with a thin neck and a larger bulb like the Njoy stainless steel plugs.
Once the plug in in place, the slight pressure on my sphincter and the occasional tease on my prostate feel amazing. When having sex, or just getting a blowjob from my wife, it makes the orgasm in credibly intense when the muscles clench tight around the plug.
I also enjoy wearing a comfortable plug for longer term wear while shopping, running errands, doing yardwork, or just going out with friends. In addition the physical sensation, it's a great mental thrill for me (taboo? kinky?) to be in public around other people while they have no idea i am plugged.
I've built a small collection of plugs of various materials, sizes, and purposes. Some are silicone, others are metal. Some are only 1.25 in diameter, and my largest is 1.75". Some vibrate, while others do not.
I enjoy having a variety of plugs from which to choose, based on my mood and intended activity (short term for sex, or all-day).
It may not be for everyone, but anyone who has never tried it should at least experience it once. You may find you really enjoy it.