Can you anodize a golf club head?

I don't see why not. Some people have powder-coated their irons (and drivers), some have done DIY black oxide finishes. You'd have to strip the chrome off first for anything to be successful. Be mindful that this will decrease the weight of the clubhead, and unless that weight is put back by the anodizing process (or by other means), you'll end up with irons that will feel different (lighter) than what you're used to, possibly hurting their playability.