Unlike the vagina, the anus does not have any natural lubricant. For this reason, a finger up the butt typically feels more pleasurable when the finger is coated in lubricant.
As with any activity involving the anus, digital penetration does carry a risk of spreading infections or diseases. The risk of disease and infection can be reduced if the person penetrating the anus wears a latex glove. This glove can also feel fantastic against the delicate tissue of the anus. A condom over the finger will also work well.
If neither of these are available, the finger should be clean, as should the anal region.