Yup, I anodize stuff myself. I don't use any particular kit, but I mostly followed this guide:
http://www.focuser.com/atm/anodize/anodize99.html My acid bath is a heavy duty plastic tub from wal mart, and my current source is a military surplus adjustable battery charger. I use Lye for surface prep, and dyes and sealers made for anodizing. As for the pros and cons of different coatings, here's what I think:
Anodizing Pros:
Very tough coating, colorable, looks very cool.
Anodizing Cons:
ONLY aluminum can be put in the acid, so parts with pressed in parts made of other metals can't be anodized unless you can get them out
The finish of the final part is directly proportional to the finish of the pre-anodized part... anodizing hides nothing
Color can fade in the sun if the dye or sealer isn't good enough, or if something goes wrong with the process.
Powder coating pros:
Anything metal can be powder coated, including assemblies of different metals.
Color availability is nearly endless (and there are clear powdercoats)
Hides defects well
Powdercoating cons:
Whatever is to be powdercoated must withstand 400 degree heat
Adds considerable thickness, so tight fitting parts cannot be powdercoated where they fit together
can chip or peel (stronger than paint, but not as strong as anodizing)
I don't know enough about professional clearcoating to say much about that. As far as costs go, I've never had anything professionally anodized or powdercoated, so I'm useless there too. I have a Harbor Freight powdercoating setup, but I haven't used it yet.