Pegging is the name given to the 'role-reversal' sex act of a woman using a strap-on dildo to penetrate a dude anally.
The term originated from Dan Savage's advice column. Dan has said that he reckons every man should give it a try, because a) they might like it, and b) they can learn what it's like to be the one who gets fucked for once.
If you want to learn more about pegging you should pick up a copy of Bend Over Boyfriend, an educational video led by Dr. Carol Queen. And if that's not enough, you can also pick up Bend Over Boyfriend 2: More Rockin', Less Talkin'.