They aren't meant to be painful, and if one hurts, then either you're going too fast without giving your body time to adjust, or you aren't using enough lubricant. Remember that the butt isn't self lubricating, and a dry toy against dry skin isn't very pleasant.
For it not to be painful go slow and use plenty of lube, You cant or you shouldn't just try to jam something in your ass, that "WILL" be painful.Anal should be pleasurable not painful. Just my humble opinion.
ToyGeek is right. The #1 & #2 causes of pain during anal play are going to fast and not using enough lubrication. In my book spit doesn't count as lubrication.
Take it slow, relax and use plenty of lube.
Well said Gunsmoke!
As all the others have said go slow and use plenty of lube! But the main thing you need to realize is as a newbie to anal play (if you are) is that you need to choose an appropriate size. Start small and work your way up. you need to stretch the sphincter slowly. Using to big of a plug no matter how much lube and patience can tear you up. Butt plugs should not be painful but arousing. Walking around in public with one in is exilarating (IMHO).