I've only just played with my own toys so far (no partner yet but some decent size plugs and dildos), and I've *never* felt anything I'd describe as painful, per se. Maybe a certain "poked in the gut" sensation when something goes too deep, but that's all. Stretching? Only if you don't prep with lube and try jamming something in (but then you've probably gone and torn something by that point...)
I keep hearing online and elsewhere that when it comes to anal sex, "it hurts a lot at first, but then it feels great." That just isn't my experience at all. It doesn't hurt, but what I have encountered is that, when I try to really speed things up with quick thrusts, I gradually get this strong desire to shit. Not the feeling everyone gets the first time they pull a dildo out -- I got over that -- but more like an intestinal discomfort that I get even when I've warmed up for hours.
It's uncomfortable -- and it's preventing me from really enjoying the act -- but I wouldn't call it "painful". But is that what people are referring to? Is that the grimacing you see in porn when a bottom gets pounded lol? Or is there a side of anal sex I'm (fortunately) missing?