I think its really the mental stimulation, via different fantasies, edgier fantasies and such that makes it interesting.
If you want to go for physically interesting though, definitely lube first, and you can either try a vibrator designed for guys, like the fleshlight for example.
If you really want to go farther with it you can try stimulating yourself anally, with either a lubed finger or a toy. Apparently they make vibrators specially designed to hit the prostate. Never really tried something like that myself, definitely not alone at least, though I have gotten stimulation back there from the wife with a finger and one of her normal dildo shaped vibes (no, not full penetration), so I can at least say stimulation does feel good back there if you haven't tried it, though at least in my case, I had to get over some mental discomfort with the idea of being played with back there at first, especially later when it was with something shaped like a penis, lol. But once i got comfortable with the idea and learned to relax and all that didn't really matter as long as it felt good, I rather enjoyed it.
Still, I'd maybe suggest trying that with a partner first rather than going to town in some extreme on your own.