Pure Aluminium reacts with oxygen, as said earlier, to form aluminium oxide coating that protects the metal from corrosion. Alloys of aluminium do not because the copper and zinc etc., corrode allowing the process to continue into the metal. That is why there are chemical (Alodine) and electrical (Anodizing) processes that artificially convert the surface of the alloy to do the same thing as happens naturally with pure aluminium. Alodine being more of a repair or paint preperation process and Anodizing being the more durable process that can stand alone.
Some alloys of aluminium, 6061 among them, form a corrosion layer that will blacken your hands or rub off on wood. Others like 2024 don't as readily. The alloys need to be Anodized if you want to protect them but they will not remain shiny. They can be coloured as you see with many tools or left clear. Some alloys like 7075 will show grain or a mottled look if clear. Usually not desired for show but normal on parts that are painted.
Each type of alloy was developed to have certain properties and as time went of more have been developed fill the needs of industry and aviation. Some like 1100 series are almost pure aluminium are soft, corrosion resistant, weldable, but relatively weak. Alloys in the 7000 series are strong, some approaching that of mild steel, but are not weldable normally and corrode quickly unless protected.
If you are going to play with aluminum for pen parts and can find it, you will like 2024 as it cuts cleaner than 6061 that is kind of gummy in comparison. 7075 also machines nicely but is harder than either of the other two. Any alloy you want to play with should be pre-hardened to T4xxx, T6xxx, etc., and you should anodize them. Brad Godard can help you get into it. At the MAPG some years back there was a demonstration by a serviceman who's name escapes me and Bruce Robbins. A PM to Bruce will put you on the path to chemical enlightenment too.