so my answer to this is pretty layered bc i'm a trans guy and the sensation for both has changed since starting testosterone
pre-transition, i liked anal but it was a lot of trouble for the reward and vaginal was super easy / pleasurable all the time (i was lucky and can orgasm from vaginal penetration, it used to be how i preferred to get off)
post-transition, anal is still a ton of work to prep for (esp given i consistently have gut issues)... but it's a WAY more pleasurable experience. i tend to re-discover it maybe twice a year. i'm not exactly sure what's caused it to become so much more intense (seriously, i get super shaky and wobbly nowadays), maybe testosterone made the nerves grow there more? i dunno
but also, post transition, vaginal is a lot more difficult (dry / sensitive) and i have to work pretty hard on getting warm enough to enjoy myself. i really have to be in the mood and have a lot of time on my hands and... well, sometimes it's hard to come by