The anus and rectum are not self-lubricating, which means that for anal sex to be comfortable and pleasurable, a lubricant is required. While you could use any lube, anal lube is specifically designed to be thicker (as the skin in the rectum and anus is thinner), so it offers more protection and lasts longer. It eliminates friction and dryness and moistens the surrounding tissue to allow for comfy stretching. Oh, and it makes the use of condoms safer too. Win win win, all round!