I think it's the 'forbidden' nature of anal that makes it exciting.
Fingering...I've done that both ways, often pushes me over the edge if I a girl lets me slip a lubed finger in while fucking her pussy. I've had a girl prostate massage me while blowing me to fountainous effect. I'd like to try fucking a girl while another massages my prostate.
Rimming...done a bit of tongue on the rosebud while doing RO if the girl is clean as a whistle, not sure If I'd want to go inside to taste her spiciness though. A few girls have done a bit of perineum licking on me while teasing my ball-bag, but I think I'd like it if she went lower, probably need to tidy up a bit more for that.
Anal penetration giving...definitely on my bucket list...I can imagine it might not feel as good as the pussy...a tight entrance then less grip once inside...but the taboo of it would definitely excite me. I'd love to try a DP on a girl with a dildo or another guy's cock and fill her up completely.
Anal receiving...got serious misgivings...seems a bit gay...though if it's a girl with a strap-on, maybe it's OK.