Anal sex is horrible and gross... I had to try it with 4 different women before giving it up indefinitely. It doesn't feel all that different from vaginal sex unless you are hooking up with girls that have cooters so blown out that there's an echo in there. Know how when you have regular sex it makes the room smell like sex? Well when you have anal sex, a lot of the times it makes the room smell like anal sex, and well thats just not fun for anyone. And last but definitely not least getting shit on your dick is almost inevitable, regardless of how clean your partner is. Especially if she gets off, and all those muscles are contracting and releasing, you better count on shit on your dick. I am a lazy stoner at times, and I don't want to have to shower and scrub my junk after every sexual encounter, especially at night. Since I don't date girls with stinky baby gutters, it's not usually a problem for me. Oh yeah and lets not forget, it's very painful for the girl until she gets used to it. Who wants to make their gf cry? So unless you can park a mack truck in your gf's vag steer clear of anal sex.... It's not all that is cracked up to be.
Edit: Dr Lg yeah that's pretty normal for a chick's first time. I am surprised she didn't cry when you first put it in, that's when they usually cry. As long as you do it with some semi-regularity it won't be as bad next time.