No, you don't need a lube advertised as "Anal" for anal sex. In fact one of the lubes often recommended, Maximus, doesn't advertise itself as an "anal lube"
Many people find thicker lubes work better for anal sex as they're less likely to be squeegeed off during play, but beyond that there are only a few things to keep in mind.
Don't use oil-based lubes with latex condoms or jelly/rubber/TPR/TPE toys
If you are or may be sensitive to chemicals try out the lubes first, since a lube with an ingredient you're sensitive to will burn.
Try a few out and see what you like best. Maximus is highly rated (though if you're chemically sensitive it's not a good idea), I like Probe Thick and Rich (but it is a bit stringy). Reviews are good - many reviewers talk about how they work or don't work for anal play.