Anal sex can be pleasurable for both the insertive partner and the receptive partner, as the anus contains many of the same kinds of nerves as the penis or clitoris (it can also be unpleasurable for both partners, especially if performed forcefully or without lubrication).
For women, pleasure may also be derived from anal intercourse because the rectum shares a wall with the vagina, and the sexual nerves are actually closer on that side, making the sensation different and sometimes actually stronger. For males, the tightness of the anus is often said to be a source of pleasure for the "active" partner in penetrative anal sex, while the presence of the prostate gland near the rectal wall is generally seen as a source of pleasure during receptive anal intercourse. A sexual climax for the recipient (referred to colloquially as an anal orgasm) may or may not occur through anal sex.