It is usually thicker to ease penetration without it running all over the place

There is no real difference, if you like a lube anally you can use it anally. In general Jobthingy's right, and it is thicker, also there tend to be more oil-based anal lubes (some very thick) then there are oil-based "general lubes", also there are fewer silicone-based lubes marketed as anal lubes for some reason, probably because they tend to be thinner.

Generally as others have said... anal lube is somewhat thicker and often more gel like than other general lubes. There is no reason to necessarily use a specific anal lube though if what you are using now is working well. For a some people the specific lubes designed for anal sex seem to work a bit better but for others they might not even work as well as general lubes... all depends on the person as well.

I agree about oil-based lubes as well. Generally they aren't recommended for vaginal use. Water based are generally "safer" for vaginal lubrication and especially those with as few additives as possible which lessens the possibility of short term reactions and potential longer term effects as well.

I've never tried actual anal lube, I've always just stick with the basics.

I've noticed that I prefer "I.D. Liquid" over "Wet". For some reason when ever I used Wet my rectum would be irritateed for a whole day afterwards. For years I thought it was just how I was using my toys until I grabbed the different bottle at the store by mistake thinking it was the same thing. I don't get that at all with I.D., With I.D. I just feel the after warmth from being pounded and bowel movement are completely normal like I did nothing.

We use vaseline, which is cheap and works fantastic because it doesn't rub off easily. It's great for in the shower. Just remember, it can break down condoms so if you're using condoms don't use vaseline!