This is a rarity. In the 10+ years being in the LS, I think I've only run across 2 women (that I know of anyway) that prefer anal over vaginal. Even though vaginal actually feels better to me, I consider anal a rare treat. It's more the visual and the fact it somehow feels extra dirty (in a good way) than anything.
Though the Mrs prefers vaginal, she's had some of her most intense orgasms from anal. Mostly, if she does do anal, she wants it to at least start slow and work up to something faster. Many guys do not understand that and think they can start off pounding an ass like they do a pussy (i.e. a little lube and pound away). Some women can do that, but the vast majority can't/won't.

