I'll answer on two levels (unless you also want the third, which is orally (: vaginally and anally, but just from my point of view. Different users probably have different experiences.
Vaginally, maybe because the natural fit is there and it is nature's intended receptacle, you feel like someone just added warm lube to your intercourse session. It's a nice sensation that is quickly over, unfortunately. You do not feel the ejaculate hit the cervix; it doesn't have a sensation that an injection or spray of cum has entered your body. When the penis is withdrawn from the vagina, ejaculate and natural vaginal lubrication (mixed together by now) tend to seep out.
Anally, there are a lot more nerve endings than one might imagine. At certain angles it is easy for your partner to make it a pleasurable experience, despite the fact that most women I know avoid this. It is actually easier to hit the G-spot in this position than in the missionary position (albeit indirectly, but still, it is strongly felt....). Anal can bring you closer to orgasm for this reason, at least from my experience.
When the man ejaculates in your anus, though, the sensation is entirely different; I actually call it a "hot shot". It's a really hot (in both senses of the word) sensation in the lowest part of your back; the feeling lingers for 10-20 seconds, then begins to cool, unfortunately. It's amazing how much of a temperature difference in ejaculate that you can feel anally versus vaginally, which you almost can't feel at all.
