I like the chemical plating processes, like cadmium plating and gold iridizing. I learned circa1970 that the cad plating process can embrittle certain metals however. I had a Yamaha motorcycle frame cad plated, and afterwards all the welds began cracking. Yet other frames (European motorcycles) had no cracking problems.
Ceramic and Jet Hot coating are way cool, but they aren't readily available, and they are limited in colors.
Having a part sand blasted and then powder coated is the easy way out. No argument there. I've had a few things powder coated, and I'm a bit disappointed in the results. I won't use it again. Its too soft, too delicate. Scratches easily, etc. Its not a good automotive finish. That king is wearing no clothes, in the eyes of this fool.
I've not used the Cerakote that David has mentioned … I'm intrigued. I plan to experiment with it in the future.
I think paint, even out of a rattle can, is the best bang for the buck.
(1) You can do it at home.
(2) It takes no more prep than other finishes.
(3) Widest choice of colors.
(4) More durable than powder coating.
(5) You can achieve any finish you want; from flat to high gloss. You can make a part look like a factory part, or make it stand out like a custom part. I've applied paint jobs with a rattle can that resisted paint chipping, and resisted later removal with paint remover. I've been told some of my paint jobs were tougher than the porcelain in a bath tub.
You just have to use the right primer, the right main coat, and the right clear coat. Apply thin coats, and allow adequate time for drying between coats; flood lights and heat lamps help in that regard. Figuring out the "right" paints takes time and experience OR receiving the right advice. I look for primers that dry so hard that they don't feel like paint, they feel like bare metal. And I look for clear coats that "darken" the main coat. Admittedly some guys have better skills than others at making a rattle can paint job look good. Over the decades I've had some rattle can paint jobs come out that looked stunning … yet I've had a few that failed miserably. 
That's why they make paint remover.