When the topic of anal play comes up the first thing that comes to mind for many people is the butt plug. Butt plugs are typically fairly simple in design and very smooth. They can vary in size from short and thin to extremely large, with over 4" diameters!
Butt plugs are designed to be inserted into the anus and left there during sex or masturbation to provide a full feeling that many people find wonderful. For women, this also has the side benifit of pushing a man's penis or a dildo towards the fron of the vaginal cavity, providing additional pressure on her g-spot. And for men the plug rubs up against the prostate, the nerve-rich part of the male body that provides similar sensations as the female g-spot.
Butt plugs are generally not made to be used in a thrusting motion, there are other anal dildos and anal probes that are designed for such actions. However, that doesn't mean you can't! Thrusting an oversized plug in and out of the anus can help train for larger toys.