It might hurt if it's something larger than a finger, and/or is unlubed. The anus has very sencitive nerve endings, but the most pleasure comes when you hit the prostate. The prostate is located under your scrotum, and if you're entering through the back then you won't need to go very far. Some call this the "male g-spot". Everybody says put a condom over it, but when I do it, (which was a while back) then I would clip my nail, add some lube to the finger, and then well... heh. But I don't do that any more. It gets a little messy >.< Remember, that's your ass.
When I masturbate towards the end I rub the prostate. Keep rubbing, and it enriches the experience much more. Just need to deal with the regular mess