I knew a guy and his wife that tried this out. He would give her anal, and evidently he was too rough when he entered her.
She decided that he needed to know what that felt like, so she talked him into letting her fuck him with a dildo.
According to him, she let him have it, and he said it hurt like hell.
I agree with DT, if your comfortable with who you are, then experiment. But remember, when you experiment, take it slowly so it's enjoyable.
Also, only go as fast or as far as your partner will let you. Don't force anything, or let frustration get in the way. Remember, it's good sex, not a race.