As a provider of powder coating services, people may view my opinion on the answer to this question as somewhat biased.  However, I will try and portray with as little partisanship as possible both the advantages and disadvantages of powder coating and anodizing. 

Advantages of Powder Coating

One of the biggest advantages to powder coating is the reduction in air pollution compared to liquid coatings. When powders are cured in an oven they emit no VOCs. There are also more options in terms of finishes, such as fine textured, peeled, matte, semi-gloss, high gloss, etc. 

With anodizing the batches of the different colors are created and then that color is run through.  If parts need to be reworked or more parts get added on to an order, a new batch needs to be made.  This can be very costly and also there is a good chance that there will be issues with the consistency from one batch to another.  The advantage to powder coating is that the consistency is more easily attained by the powder supplier, so that parts painted this week and next week come out with little difference in the finish.  The advantage with powder coatings is that consistency is closely monitored so that each batch is assessed with color computers, visual inspections, mechanical and chemical testing.  This ensures that each batch is within a tight tolerance to the original standard on file.  This prevents “drift” over time and helps to ensure batch to batch consistency.

 It is also relatively easy for most powder coaters now to switch from one color to another so that cost is fairly small. 

 The number of colors available is unbelievable.  Powder suppliers have in-house labs where they can match powder coating colors to liquid paint or any other color, simply by having a color swatch to match to.  And they can do as little as one box (25 kgs) of powder at a time.

  Depending on the end use of the product, anodizing can be brittle and hence is the metal is going to be bent after anodizing or is subject to drastic changes in temperature; the anodized finish may peel off.

  Advantages of Anodizing

 Anodizing is a harder finish than powder coating. Anodizing tends to be withstanding abuse better than powder coating as well.  It can also has better UV protection, whereas with powder coating if you wanted to get the same level of protection you would need to use a super-durable powder.  This depends, however, on the type of anodizing you utilize.  Organic anodizing does not have the color retention of powder coating, but inorganic anodizing typically has better colorfastness than powder coating.

The finish of anodizing, some would argue, is generally more metallic than with a powder coated part.  Some powders have been developed to mimic anodizing, but there is still a difference. An anodic coating unlike paint actually bonds and chemically alters the surface of the aluminum, becoming part of it in the form of an oxide. Paint because it sits on top of the surface bonds but never actually becomes part of the metal matrix.  As a result anodizing does not peel, but may crack during bending because the part it is bent is either stretched or compressed beyond the surface tension limits of the anodic coating.

Generally speaking, price comparison will vary, depending on the color and run size you are looking at.  The only way to truly judge the most cost effective way to go would be to get the same parts quoted in different finishes and of equal batch sizes to be certain.