Quote Originally Posted by wilhelm
Another thought I had is parkerization. My dad refinishes WWII-era guns, and uses a home parkerization kit to do some of the smaller pieces. It's a flat (as in not glossy) coating, and it's pretty tough. I'm pretty sure it's an electroplating process. Though most of the gun parts my dad deals with are ferrous metals, so I've got no idea if it'll work on aluminum.

Will
There are also gun blue-ing kits, that give a shiny finish, but its really a deep, deep violet-blue colour, not pure black, although you have to see it in bright light to distinguish. Aluminium can be painted successfully, that is not a problem - look at the number of aluminium panelled cars out there - with great care to surface cleanliness and something like an aoutomotive finish you should be able to get a pretty durable finish.
I have to agree though, anodizing would be the bomb, but probably prohibitive cost-wise. You may also want to look into powder coating, a tough finish often applied to alloy wheels (which, contrary to the popular name "mag" are usually made up mainly of aluminium). There are powder coating facilities in most cities, your best lead may be a custom car shop of some sort.
As you can see, there are many options for near bullet-proof finishes - so look into cost and availability in your area. I would say anodizing and powder-coating would probably be the most durable in parts that are handled frequently, with a nod to the former as it is not really a coating per se.