Most vibrators don't work well anally, especially on men. For anal use you want a vibrator that's "throbby" and produces low frequency vibrations that penetrate, whereas many vibrators are more "buzzy" and produce vibrations that stay more at the surface. If the vibe doesn't work well I'd rather get a really good dildo/probe and not have to mess with the vibe function. Many vibes are harder to clean as well, not nice if you use it anally.
That said, if a vibe is right for anal it does feel good.