I dunno how much of an exception I am Grim but as with anything the right gear, study, and practice helps. Understanding the fundementals also goes a long way. Anodizing is basically just dying the oxide layer. That said, I trashed my fair share of parts while learning and still mess up a few on ocassion.
Unless one has a lot of stuff to do or is willing to accept the learning curve I'd recommed taking parts to a shop. I you want to try there are lots of online places that'll sell you everything you need for doing it at home. Start small and work you're way up. That way the expense is less as you learn.
LouKY: I can't do anything bigger than about a two C cell flashlight. In fact it's one reason I got into anodizing. One of my hobbies used to be designing and building high tech custom lighting tools. I also use it for other reasons as anodizing has many applications besides decorative. The fitting of small parts and to provide electrical insulation for example.
Have fun but be careful. As Grim mentioned, there are some corrosives involved.
Home anodizing is actually a fairly popular and enjoyable hobby and once you get it down you can even make some coin with it. Get too big of a system though and your local city eco-types will come knocking.
If DYI plating is your interest there are also places that'll help you out. Many people run small businesses that gold plate car badges for example. For small jobs try a plating pen like Hunter Products makes:
http://tinyurl.com/kajxp
Otherwise I'd avoid getting into plating because it's far nastier, epsecially chrome and gold. For example you normally have to use a cyanide solution to plate gold. Course, I'mtalking about plating here, not anodizing. As Duane mentioned, "hard" (type III) anodizing is best but trickier to get right and last time I checked the range of colors available was far less than type II.