Aluminum naturally has a thin layer of oxide on the surface of it, making it good for corrosion resistance (that's one reason why aluminum is used for car frames now, so that rust is minimized/eliminated).
That may be a benefit, but the strength to weight ratio is the primary reason. You get decent strength and a lot less weight, meaning better fuel economy.
The thicker layer also becomes partially porous, and is highly accepting of some dyes. Which makes it a popular choice for 'painting' aluminium parts in a way that is tough and durable.
Exceptionally heavy treatment can degrade your thermal transfer through the material, but it is fairly minimal.
More important than the thermal conductivity is the emissivity of the surface of the heatsink. As Uncle pointed out, a black anodized heatsink is far more emissive than bare aluminum. Why? The heatsink must be capable of moving the heat (via radiation) to the surrounding air.
In an ideal world, the fins of the heatsink would be black anodized and the mating area would be lapped raw aluminum with a micro thermal compound. In "our" hobby world, it is just easier to use the black anodized heatsink.
Emissivity:
<TABLE style="BORDER-COLLAPSE: collapse" border=1 width=640><TBODY><TR><TD>
Surface</TD><TD>
Emissivity</TD></TR><TR><TD>Polished aluminium</TD><TD>0.05</TD></TR><TR><TD>Polished copper</TD><TD>0.07</TD></TR><TR><TD>Rolled sheet steel</TD><TD>0.66</TD></TR><TR><TD>Oxidised copper</TD><TD>0.70</TD></TR><TR><TD>Black anodised aluminium</TD><TD>0.70 - 0.90</TD></TR><TR><TD>Black air-drying enamel</TD><TD>0.85 - 0.91</TD></TR><TR><TD>Dark varnish</TD><TD>0.89 - 0.93</TD></TR><TR><TD>Black oil paint</TD><TD>0.92 - 0.96</TD></TR></TBODY></TABLE>
While the "paint" is more emissive it also is also a coating and can degrade the conductivity more than it helps with emissivity... so in most case, the black anodized is by far the best choice
More than you ever wanted to know:
http://sound.westhost.com/heatsinks.htm
Rod Elliot's site (for any of you into electronics, especially audio) is an amazing wealth of information, and he is a great guy too!