Ok, I hope I get this right.
Anodizing is a process of surface-treating aluminum, by applying electric current to the individual parts while they sit in a chemical bath.
The current forces the aluminum to essentially corrode, or form oxides on the surface, in a controlled fashion. Higher current for longer periods produces heavier coatings of oxide on the aluminum.
Most lights, Mags for instance, are anodized with a relatively low level of current, and so have a fairly thin anodized layer. Sometimes colorings are added to the chemical bath, and this is how Mag makes their colored bodies (I believe.) Lights from companies like Surefire and Arc, are treated with higher current and so have thicker anodized layers, known as HAIII.
That's the short, non-expert answer. Take with appropriate levels of NaCl.
:D