Lubrication is ESSENTIAL for pleasurable, healthy, pain-free anal play. The rectum does produce a mucosal lining to assist in defecation, but this is nowhere close to satisfactory for back-door pleasure. I also hate to burst your low-budget bubble, but spit isn't going to be satisfactory either; invest in a bottle of lube, you'll thank me when your enjoying every moment of anal pleasure and not in a butt-load of pain. Most lube is reasonably priced and worth every slippery penny. When penetrating the ass apply lube to the anus, but even more lube should go on the toy, finger, or penis being inserted into it. Another important thing about lube; whatever you think is enough, use a little more just to be safe.
Water-based lube is my overall personal favorite because it's so compatible with all types of play. You can use it with any sex toy material, any condom/safe sex material, for men and for women. Water-based lubes do not irritate, do not stain your clothes or sheets, and wash off easily. You can find water-based lubes at the pharmacy but some of these, like traditional KY, are meant for medical purposes and are designed to dry up pretty quickly. The pharmacy lubes designed for sex are usually not up for the anal challenge; they are simply not thick enough. I would recommend thicker, water-based lubes with a hair gel consistency; they will protect the sensitive rectum and the intricate folds of the sphincter with a coating of moisture, which will not dry up as quickly as the more watery lubes. If you feel your water-based lube drying up a little, you can splash a little water to bring it back to its slippery state; if that does not work, it's time for more lube. Water soluble lubes are different from water-based lubes; they are usually oil-based in fact.
Lubes with glycerin are typically safe for anal play but if you want to use that same lube in the vagina it may be a problem. Some women are sensitive to glycerin and get vaginal infections from it, but there are plenty of awesome glycerin-free varieties available.
These lubricants use silicone, the miracle of modern science, to provide all the benefits of oil-based lube without most of the set backs. They are longer lasting than water-based lubes, non-staining, hypoallergenic, safe to use on latex and other safe sex materials, water resistant for the hot tub fans, retain heat very well, and you can even use them for shaving (it will make the razor last longer).
Believe it or not, there are set backs to using silicone lubes. Because silicone does not get absorbed into the skin, it does not irritate, and lasts for a very long time; this is a problem for clean up. With soap and water silicone lube cleans up pretty well. The rectum empties itself once or twice a day (when you defecate), any excess lube up in the cheap seats will mostly likely exit when you visit the bathroom. Another downside to silicone lube: you can't use it with your precious silicone toys or any toy with silicone as an ingredient (aka Cyberskin toys). The perfect parallel: It's like Kryptonite to Superman. The very thing that makes your silicone toy the "best thing since sliced bread" will be its undoing with silicone-based lube. It will break down the sleek, smooth, non-porous, hypoallergenic surface of the silicone toy because the only thing silicone really bonds to, is silicone. You will have to put a condom on your toys made of silicone and Cyberskin (in all its incarnations) play with silicone lube.
Oil-based lube is a favorite among men, and rightly so, because it really is an amazing lube for jerking-off. This lube is slick, slippery, water-resistant, long lasting, and warms to body temperature pretty well. Great for penises, but it's not safe fore vaginas; oil is hard to wash away, meaning it can hang around for way longer than you want it to, collecting bacteria, which will most likely cause an infection. Anal play with oil-based lube is perfectly fine for penetrating a man but not for a woman because it can drip into the vagina very easily (for this same reason, I cannot recommend it for penetration by a female strap-on wearer). Oil can also stain fabric, as well as break down the dye in toys; use a condom to keep the material's integrity. Another problem with oil-based lubes: you can't use them with latex, they will however be fine with condoms and other safe sex products made of polyurethane.
Numbing lubes are designed to dull the "pain" of anal sex; this presents a problem because anal, when done correctly, should not hurt at all. The pain present during anal sex is your body telling you something isn't quite right. Normally, this response is due to lack of lubrication or trying to penetrate with something too large and/or too fast. These products numb the sensation of anal sex, but don't you want to feel every ounce of pleasure shooting through your pelvis? Slow down, relax, use more lube, and be patient with your (or your partner's) butt.
I cannot recommend these lubes for anal sex, but the choice is up to you. They are pretty good for easing sore assholes the day after a long anal session (just as a treatment; if you are sore, it's best to let yourself heal before you jump into action again). People who don't exercise their pelvic floor muscles tend to have sorer muscles the day after anal sex; numbing lube could be anal Bengay for these people. That said, witch hazel wipes (aka Preparation H wipes, or Tucks wipes) will do a much better job of easing a sore, itchy, irritated asshole; they are cleaner, portable, cheaper, and easier to come by.
I know some of you "low-budget" folks think you can use slippery cooking oils for anal penetration, but I'd HIGHLY advise against this. These are designed for cooking and you, my friend, are not cooking; you're going far beyond all that by whipping up a batch of anal pleasure. You should use sex specific lube because it is designed for this purpose alone; this kind of lube works better and lasts longer. You wouldn't use canola oil in your car because it is not designed for that; cooking oil is not designed for sex either.
People have tried everything imaginable for lube; Crisco, olive oil, Vaseline, shaving cream, hair conditioner. These household products should only be used by men (without a female partner) as lube for: jerking-off purposes, with poly-urethane condoms and gloves, or unprotected anal play (which I advise against). Most DIY lubes are oil-based which is not safe in or anywhere near a vagina. Oil-based products are unsafe for latex products like condoms and other safe sex gear as well. The only time I condone cooking oil near a vagina is if neutralizing a chemical burn from a hot pepper (a long, embarrassing story, I assure you).