It hurts if you do it wrong, and until you're used to relaxing your anus and the muscles in the rectal area there can be a little discomfort (it shouldn't hurt, ever). At first it might feel odd or funny, as you probably aren't used to associating anal stimulation with pleasure, and because of cultural leanings we generally tend to not think of our butt sensations as fun.
Once you learn to relax, like it and loose your inhibitions it can feel great for both men and women. The sensations are different from genital stimulation but equally good, and they can be enjoyed by anyone.
Do take it very slow (start with outside stimulation and move up slowly over a month or more before attempting anything "penis-sized"), and make sure you can completely relax yourself if you are the one experiencing the anal stimulation. Go to the bathroom, take a small water enema if you want to, use plenty of lube and find a position where you can relax all your muscles.