I powdercoated mine. The local guy did them for $10 each. I also had the hubs powdercoated at the same time. If I had it to do over again, I wouldn't powdercoat the rims. The powdercoating is tough, but not tough enough to stand 10 miles of riding with a flat tire. You also have to be really careful to not chip the rims when changing tires.
However, the hubs turned out great and made them easier to keep clean.
I considered it and even got a quote from a shop. It was $40 for a "batch". I could throw in a few other things. But I figured new wheels are only about $200 for the pair and for the trouble, I think just buying new ones would be a better option. The hubs cannot be annodized. At least, that is what i was told. Getting those powder coated would be sweet. OR you could just shell out a cool G and be done with it in one swoop.