An anal dildo is meant to be used strictly for anal play. They tend to be much smaller in comparison to traditional dildos. Many anal dildos come with flared bases, which stops the anal toy from going too far into your rectal cavity. This is a safety precaution and a comfort optimization feature.
In comparison to a butt plug, an anal dildo is meant to be used for inward/outward penetration. The average anal dildo is made of silicone, jelly, or glass.