Not to be pedantic, but ftp is an application, albeit one that runs on the command line. It is however, as you said, very fast and built in.
Now that that's out of the way...
When you turn on the ftp server in System Preferences, It uses the users you create in the Users Preference Pane. So when you connect to your machine (perhaps with ftp localhost) you enter your username (what apple calls your "short name") and your normal password. This applies to any other users you create in the Users Pane. One would assume this includes a user called guest...
Looking over the ftpd man page, it seems your best bet is to create a user called ftp and edit /etc/ftpusers to include the lines: anonymous and ftp. That should set up a "real" anonymous ftp user.
There may be a better way to go about this, speak up anyone who knows it.
It should also be noted that anonymous ftp is a HUGE security hole and you should probably steer far clear of it unless you have a very specific reason for needing it. Using your own username, and/or creating usernames for those who need access should work for most applications and is enough of a security issue by itself. Better still would be to turn on remote login (aka sshd) and use scp (man scp and the scp HOWTOs will be of help here). Too bad there's not a really good graphical scp client...
-alex.