Not always but usually. Some barrels are now being made with a titanium alloy as well. Also you can now buy carbon fibre barrels. Oh and polymer ones too. I think you can still get brass ones as well.
Anodizing is actually the process of coating a metal through electrolysis with a protective/decorative oxide coating...
When aluminium is anodized a tough coating of Aluminium Oxide is left on the surface of the metal. This coating is stronger, inert and electrically non-conductive.
It is possible to anodize other metals too though...