TRUST ME ON MY ANSWER PLEASE!!!
If you're completely new to anal play, you two should experiment with some anal fingering every time you have sex, until you're totally comfortable with his fingers in you.
DO NOT USE THE STUFF THAT NUMBS YOU!! That will increase your chance of tearing or serious injury. Pain is there to tell you and your partner when to ease up, and slow down.
Make sure that you trust your partner! This is a very vulnerable sex act for the receiving partner, and trust will put you at ease.
It's EASIEST to catch an STI(STD) through anal sex, because tiny, unnoticeable tears during intercourse allow for easy entry into the bloodstream. Also there's the 'thousands of harmful bacteria in feces' thing. If you choose not to use a condom, make sure that your partner urinates afterwards, to clear his urethra of any fecal matter.
I wouldn't exactly say you shouldn't feel ANY pain, but you shouldn't feel MUCH pain. Start with fingers, and maybe vaginal sex first.Then, the guy should very slowly, and with MUCH LUBRICATION, begin to enter you, and when you say "Stop", he should STOP, and JUST STAY THERE. DON'T MOVE for about 15-30 seconds, or until you feel comfortable. Then he should begin to go deeper, until you say stop again. Keep this up until he's all the way in and then you guys can begin, but the first (and probably the 2nd-10th) time should be very slow and gentle. Don't worry, because it will feel great for BOTH of you, no matter the speed.
IMPORTANT: Make sure AHEAD OF TIME that he won't' pull out of you quickly or roughly, because at the wrong angle, he can (for lack of a better phrase) mess up your butthole, Seriously. It's called prolapse.
Make sure you and your partner trust eachother, and it will be a gggrrreat experience, orgasmic all the way through!