If done correctly sex is painful, but in a pleasurable way.... Oh wait, you may not be into the BDSM thing (try it you might actually like it :tongue
Anal sex is painful the first few times around. Actually if you are not getting it on a regular basis chances are pretty high that your arse reverts back to near virgin status, thus anal can hurt over and over again.
There are various ways to make anal a lot more comfortable - such as starting off with finger fucking, such as the bottom doing a regular routine of using small dildoes and/or butt plugs to get himself stretched out and able to relax to take his partner.
Lube is helpful - different lubes might cause more problems for ya - best idea right now is for you to buy small bottles of different types of lube - put a drop on the inside of your forarm and rub it in and let it sit several hours. If reddness or pain or itching presents, you are allergic to that lube and seriously being fucked with that will cause you a lot of pain.
Latex is another issue - a good test for that is to get a box of latex gloves (drug stores carry them) take one, cut off the wrist part (about one inch wide) and wear it a few inches above the wrist. If its the right size it should be snug against your arm. After about a day of wearing it if you are sensitive to allergic you will react.