It's pretty simple to say that the anus has a lot of nerves that can be fun to have stimulated!
It's also for me sort of a satisfying experience in terms of seeing it as an accomplishment. Since it can be a little more difficult at times in terms of getting the muscles to relax, there's a certain sense of YES I GOT IT IN that happens for me when it works out well. This also applies for using butt plugs by myself, especially when it's a new or larger toy.