But You can control the structure too - have a look on the review paper by Kowalski et al. from Schmuki's Group in Nano Today. You may obtain nanotubes, nanopores (like anodic alumina) barrier type oxide, or even fish-bone like structures.
...depends very much on the method of sythesis. Wall thickness can be pretty constant in many cases, with however a slight increase at the vertical bottom. The diameter and the presence multiple walls is of greater intrest (carbon nanotubes). Anodizationis a pretty safe method though.