How about Thanissaro Bhikkhu take on the subject:
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One of the first stumbling blocks that Westerners often
encounter when they learn about Buddhism is the teaching on anatta,
often translated as no-self. This teaching is a stumbling block for
two reasons. First, the idea of there being no self doesn't fit
well with other Buddhist teachings, such as the doctrine of kamma
and rebirth: If there's no self, what experiences the results of
kamma and takes rebirth? Second, it doesn't fit well with our own
Judeo-Christian background, which assumes the existence of an
eternal soul or self as a basic presupposition: If there's no self,
what's the purpose of a spiritual life? Many books try to answer
these questions, but if you look at the Pali canon — the earliest
extant record of the Buddha's teachings — you won't find them
addressed at all. In fact, the one place where the Buddha was asked
point-blank whether or not there was a self, he refused to answer.
When later asked why, he said that to hold either that there is a
self or that there is no self is to fall into extreme forms of
wrong view that make the path of Buddhist practice impossible. Thus
the question should be put aside. To understand what his silence on
this question says about the meaning of anatta, we first have to
look at his teachings on how questions should be asked and
answered, and how to interpret his answers.
The Buddha divided all questions into four classes: those that
deserve a categorical (straight yes or no) answer; those that
deserve an analytical answer, defining and qualifying the terms of
the question; those that deserve a counter-question, putting the
ball back in the questioner's court; and those that deserve to be
put aside. The last class of question consists of those that don't
lead to the end of suffering and stress. The first duty of a
teacher, when asked a question, is to figure out which class the
question belongs to, and then to respond in the appropriate way.
You don't, for example, say yes or no to a question that should be
put aside. If you are the person asking the question and you get an
answer, you should then determine how far the answer should be
interpreted. The Buddha said that there are two types of people who
misrepresent him: those who draw inferences from statements that
shouldn't have inferences drawn from them, and those who don't draw
inferences from those that should.
These are the basic ground rules for interpreting the Buddha's
teachings, but if we look at the way most writers treat the anatta
doctrine, we find these ground rules ignored. Some writers try to
qualify the no-self interpretation by saying that the Buddha denied
the existence of an eternal self or a separate self, but this is to
give an analytical answer to a question that the Buddha showed
should be put aside. Others try to draw inferences from the few
statements in the discourse that seem to imply that there is no
self, but it seems safe to assume that if one forces those
statements to give an answer to a question that should be put
aside, one is drawing inferences where they shouldn't be drawn.
So, instead of answering "no" to the question of whether or not
there is a self — interconnected or separate, eternal or not — the
Buddha felt that the question was misguided to begin with. Why? No
matter how you define the line between "self" and "other," the
notion of self involves an element of self-identification and
clinging, and thus suffering and stress. This holds as much for an
interconnected self, which recognizes no "other," as it does for a
separate self. If one identifies with all of nature, one is pained
by every felled tree. It also holds for an entirely "other"
universe, in which the sense of alienation and futility would
become so debilitating as to make the quest for happiness — one's
own or that of others — impossible. For these reasons, the Buddha
advised paying no attention to such questions as "Do I exist?" or
"Don't I exist?" for however you answer them, they lead to
suffering and stress.
To avoid the suffering implicit in questions of "self" and
"other," he offered an alternative way of dividing up experience:
the four Noble Truths of stress, its cause, its cessation, and the
path to its cessation. Rather than viewing these truths as
pertaining to self or other, he said, one should recognize them
simply for what they are, in and of themselves, as they are
directly experienced, and then perform the duty appropriate to
each. Stress should be comprehended, its cause abandoned, its
cessation realized, and the path to its cessation developed. These
duties form the context in which the anatta doctrine is best
understood. If you develop the path of virtue, concentration, and
discernment to a state of calm well-being and use that calm state
to look at experience in terms of the Noble Truths, the questions
that occur to the mind are not "Is there a self? What is my self?"
but rather "Am I suffering stress because I'm holding onto this
particular phenomenon? Is it really me, myself, or mine? If it's
stressful but not really me or mine, why hold on?" These last
questions merit straightforward answers, as they then help you to
comprehend stress and to chip away at the attachment and clinging —
the residual sense of self-identification — that cause it, until
ultimately all traces of self-identification are gone and all
that's left is limitless freedom.
In this sense, the anatta teaching is not a doctrine of no-self,
but a not-self strategy for shedding suffering by letting go of its
cause, leading to the highest, undying happiness. At that point,
questions of self, no-self, and not-self fall aside. Once there's
the experience of such total freedom, where would there be any
concern about what's experiencing it, or whether or not it's a
self?