I'm with Shelter, a little hot wax can be fun. Just make sure you get the kind that is actually made for sex play. My first time with hot wax my friend and I thought it would be cool to just use the melted wax from the Yankee Candle's. NO! Fuck that shit hurt! The sex wax you get at porn stores, though is hot and will give you a good sting, wont burn the shit out of your skin. Live and learn, right?
And if you have a partner that you super trust, light bondage and blindfolds are super erotic. OMG, when my partner lightly ties down my wrists and ankles to the bedframe, and blindfolds me, the eroticism goes to new heights.
Sometimes you don't need to change what you are doing in sex, but maybe where you are doing it. If you are getting bored with anal sex in bed, how about making it more exciting by doing it somewhere outside. Maybe your yard if it's private enough. Or like I have a spot at one of the local golf courses I've hooked up at out on the green late at night. Go camping and have sex in the woods.
Those are my little suggestions. Hope they help.