Well, here are my thoughts.
Basically, it's just another route to pleasure. I've been an anal player fro a long time (when I was a teenager, I really craved penetration when I was masturbating, but I wanted to save my hymen for a boy). So basically, since I was having clitoral orgasms with things in my ass, over time I established a neural anal-penetration-orgas m pattern.
Sure, I don't have a prostrate. But the sensation of relaxing my muscles, of feeling something strong slip into and past them, feels good. The feeling of the muscles closing shut again around a neck of a plug feels nice, too. Then there's also the feeling of weight. That's for a plug, in particular, I guess---I enjoy wearing a plug for a significant chunk of the day, to feel weight inside me.
Dildos and probes have the same appeal as PIA sex, which is just basically thrusting. An anal orgasm from thrusting is similar to a vaginal (vaginal but non-g-spot) orgasm from thrusting... but a whole lot stronger. Usually I can have multiple vaginal orgasms, but an anal orgasm leaves me weak-kneed, and needing a rest.
Beads, as Sam said, are for the feeling of your muscles expanding and contracting to accept them. They feel really neat when pulled out during orgasm, too.
I guess the biggest draw of anal toys for me is double penetration---this has the huge advantage of whatever's in you ass pressing whatever's in your vagina straight up into your g-spot. The extra fullness feels wonderful too.
So, let's see. If you're just looking to start... I woudl get a plug (like the Njoy medium) and just wear the plug while you give yourself a clitoral orgasm for a while.
Also, if you've got a partner, encourage him to finger-fuck you and slip his (lubricated!) pinky into your anus. Remember that "two in the pink, one in the stink" hand motion middle schoolers used to wave at each other? Turns out it actually feels incredible. The first time my highschool boyfriend did it to me I was thunderstruck.
If you like that, have him add a finger (middle finger?) to your ass when you're having PIV sex doggy style, that's enjoyable and easily accessible too.
Basically, for me, the route to enjoying anal was probably solidified early on by correlating anal with orgasms.
Does that help at all?