I think what you mean to say, instead of "gay", is "feminine". Being penetrated is a feminine act in our current socio-historical context. I'm given to understand that in a number of Latin cultures, being gay is contingent solely upon taking the receptive role in sex. (That is to say that, if you're a guy and you fuck guys, you're not gay. However, if you're a guy and you take cock ... different story.) So, yeah. But if it's your girlfriend? And, I mean, hey. If you end up liking stuff up your ass, no surprise there. Everyone's talking about the P-spot. They're right. Just as the G-spot is thought to be urethral stimulation, the P-spot is prostate stimulation. The easiest way to access that is up the bum.
The important thing to remember is that it's your body. The best way to start out is to experiment with it on your own. You have to feel comfortable with anal sex as an idea before you let anyone near your pucker. Start with a finger, if you're really curious, and move on from there. If you're using toys, make sure they have a flared base to keep them from being sucked in. But this is most important: when you start experimenting -- DO IT ALONE, not with a girlfriend.