I was first pegged by a friend over ten years ago, and I've experienced it several times since with her, with my wife and with one other friend too. I love it, but the reason I had that first experience was because it was a huge fantasy of hers, she loves it. I think it;s the feeling of being in control, or being the one dishing out the fucking for a change, or both!
My wife loved the suggestion and took it up eagerly. And the second friend, we had just got to the stage where we knew we were going to fuck, and had a meal meet-up where we discussed what we wanted to do. When I suggested fucking me with a strapon she had an amazing, immediate and horny 'fuck yes!' reaction to it; again it had been a fantasy for a long time.
To answer bimarried's question, the women seem to get off on the sight and the sensation of sticking it in for one thing, but I've also used a feeldoe strapon with one friend, which rather than using straps has a bulbous end at the woman's end of the dildo, and she puts that in her pussy so she gets a horny sensation inside her as she fucks.
The friend who gave me my first pegging experience, we usually follow up the strapon with a double ended dildo, which gets us both off, and she says although she loves pegging she gets her orgasms from the double ender.