I've been masturbating for years, and have tried just about everything there is to try. I've also searched for a long time for something discrete yet fully functional to use for anal play. The very best thing I've found-and now my favorite way to masturbate-is the Gillette Mach 3 Power. The design of the handle is completely cylindrical, and completely smooth. It slides in easier than a Sharpie, and is really really comfortable to use (no anal horror stories, guaranteed). And the best part is: it vibrates. I never used a vibrator before, mostly because I couldn't get my hands on one, and for anyone out there who hasn't, it's awesome.
Admittedly my favorite way to use it is to pop off the blade cartridge, put it between my legs right up against my crotch and underneath my balls, and then just masturbate normally. Crossing your legs really helps keep pressure on it too. It's great 'cause then you're free to use whatever other technique you want, since you don't have to hold it or anything. I do occasionally use it anally in the shower, with or without the vibration turned on, but I mostly use the previously mentioned technique.
Feels awesome, durable, versatile, quiet, waterproof, comfortable, and no one will ask why you have a razor.
Nice shave too.