Its called Black Oxide Treatment (or finish), myunderstanding is that this makes the metal a bit harder. an old mate of mine said he would do it to his tools. It can be done it home if you have the necessary handy man skills, however there are definitely a lot of commercial services that offer it, and any good boilermaker/steel worker would know how to do it.
AFAIK if you do this to golf clubs it will eventualy wear off, and may well be what some OEMs have used to make black heads and failed at it. The cool thing is, if you can do it at home, you can do it again !
and whilst we are on this topic, Black oxide is definitely not the DBM finish the Golfworks is using. I have a theory what that process that is, and if i am right, its a major industrial process, and out of reach of the humble citizen.