Aluminum is a reactive metal. This means that pans made of aluminum cannot be used with acidic foods like tomato sauce and vinegar. But aluminum is a great metal for transferring heat while being light in weight. What's a metallurgist to do?
Anodizing is a process of chemically changing the exterior surface of aluminum to make it non-reactive. Aluminum is odd in that it only reacts on the surface. Unlike iron or steel which will rust through, aluminum only oxidizes skin deep. Anodizing takes care of that process before it gets to you, so that the color is set, the surface is hardened and the pan is less reactive to whatever you plan on putting into it.
But be careful. If you scratch past the anodized surface you get to...tada...aluminum, which will react. While the anodized pan is less fragile that a non-stick pan, you should probably still use non-stick utensils with it.