What about anodizing them? I've always thought that would be cool.
No, never do that. Anodizing forms an aluminum oxide layer (which is porous and is dyed to make the pretty colors) on the surface. That layer doesn't like to flex because it's very hard and also very brittle. When the wheel flexes under stress, the oxide layer tries to flex, and can then initiate a crack, which can then propagate into the rest of the wheel which is ordinarily fairly ductile. It wouldn't be a problem if the oxide layer wasn't an integral part of the base metal and was instead a surface coating like paint or whatever.
So you can actually make a wheel develop stress cracks that would not ordinarily form in that wheel if it wasn't anodized. I's actually pretty fascinating.
I'm not sure if the stress is high enough to worry about in a passenger car wheel, but it's well known that aluminum race wheels have a very high risk of failure if anodized. Regardless, it's really not something you want to mess with if there are other methods to make your wheels pretty.
Oh, also not all aluminum alloys anodize well..
If you want something like anodizing, there are chrome-like powdercoats that can be overcoated with transparent powdercoat, like a candy paint over chrome. That gives the look of normal anodizing where the aluminum is polished/buffed, anodized, dyed, then sealed with a gloss sealant.
Anyway, powdercoat is about the most durable thing you can do to a wheel. Plasti-Dip kinda looks ratty and isn't durable at all. I'd use rattle can paint before I ever used Plasti-Dip on wheels..
