After reading the following I tried anodising at home.
http://astro.neutral.org/anodise.shtml
http://www.focuser.com/anodize.html
http://www.astronomiainumbria.org/advanced_internet_files/meccanica/easyweb.easynet.co.uk/_chrish/t-anodis.htm

I have had good results and successfully used black printer ink to dye the parts. Tried Dylon but I think it has been re-packaged since the above articles were written and stuff I got didn't take to the aluminium.
Here are a couple of photos of my test pieces and equipment.





The small round black/silver coloured part was lightly polished with metal polish to improve the surface finish. Following the dying and sealing process, the surface was matt and patchy.
I would encourage any one to give it a got but carefully read the above articles and remember to take full precautions with the chemicals used.

[Edited on 9/6/11 by chris-g]

Exellent, been thinking about this for a while, as I want to do some aluminium.

Here are dyes I used, the Dylon didn't work,there was another type of Dylon on the shelf in Winkinsons but I have not yet tried it.





I hope to post some photos of actual parts successfully anodised and dyed soon.

Here are some the parts for my Spyder Silverstone that I have successfully anodised and coloured black.








It looks like that low temperature aluminium welding repair stuff such as Technoweld doesn't like to be anodised and is instead eaten away. I need more experiment to confirm this but its worth bearing in mind.

I think that the Dylon that people used to use was the one that comes in little aluminium cans about 30mm dia x 10mm high. The idea was that you spiked the can and poured the contents into a quantity of water.



If you google "dylon cold water dye" then you'll find it.

[Edited on 12/6/11 by David Jenkins]

That type of dye is not listed on the Dylon web site. It may still be available from some shops as old stock and I will be keeping an eye out for it. Proper anodising dye is available on ebay so I may give that a try.