Anal Pleasure & Health: A Guide for Men and Women by Jack Morin [Buy]
An excellent book that helps men and women of all orientations appreciate anal pleasure. Topics include getting used to your own body, anal intercourse, rimming, and health and safety issues.
ISBN 0940208202

The Koi Sex Tutorials: Anal Intercourse
Good basic information on exploring anal penetration.
http://very-koi.net/tutorials/anal_01.htm

Sex Tutor: Anal Sex Tips
A few basic tips on anal sex.
http://www.sextutor.com/analsex.shtml

The Ultimate Guide to Anal Sex for Men by Bill Brent, published by Cleis Press [Buy]
Covers everything a man might want to know about giving or receiving anal sex with male or female partners.
ISBN 157344121X

The Ultimate Guide to Anal Sex for Women by Tristan Taormino, published by Cleis Press [Buy]
The title really says it all.
ISBN 1573442216