It's been said before, but I'll say it again...
A flared base is
very important. The anus, unlike the vagina, does not have a limited length (per se), if you know what I mean.
If you're not careful, you can "lose" stuff up there.
So either use dildos that you can hold onto, of if you want to leave it in there for some DP action (LOTS of fun!), then ensure you have a butt-plug with a flared base.
A sexy, and very erotic alternative, is anal beads. They come with a string, so you can gently pull them out one at a time during climax.
"Excuse me while I kiss the sky..."
Mr Mephisto