Why is cyclopentadiene more reactive than 9-anthracenemethanol when acting as a diene?
Both molecules are locked in an s-cis conformation, which is favourable. I'm thinking that it's due to the extensive conjugation in 9-anthracenemethanol?
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Yes, you are exactly right. Anthracene is better described by this structure (where there are no fixed single and double bonds, but rather a delocalized aromatic structure)
than a structure like this (where the single and double bonds are fixed and distinct from one another).
So in anthracene, the aromatic character must be disrupted to some degree in order to undergo the Diels-Alder reaction. In cyclopentadiene, there is no aromaticity to disrupt, the double bonds are basically fixed like in buta-1,3-diene (and, as you point out, locked in the required s-cis conformation).
A final note, benzene won't undergo a Diels-Alder under normal conditions because its aromaticity is completely disrupted and lost during the process. In anthracene the aromaticity remains in two of the rings, a much smaller price to pay.