It surprises me, somewhat, that people are complaining about the anodized aluminum. Granted, there appear to be some bad batches where the QC was more lax than it should of been (Apple should replace those), but it is aluminum with an anodized coating that will eventual wear away with use...as all of the anodized items you have, do. That includes high-end cameras, automobile parts, aluminum alloy wheels, firearms, watches, etc. Even chrome-plating will wear. The wearing away of it is not specifically indicative of the quality of design or material.
Is there some other product on the market for which this isn't the case? If you plated it in gold, or powder-coated it, it would eventually wear off, too. If you want to add color to metal, that's what will happen. What should it be made of?
Who else makes an all metal and glass encased smartphone? What are the alternatives? Something plastic? They are colorfast, but just about everything scratches plastic. Your nice watches, too are susceptible to this kind of surface erosion of any coatings, as they tend to get a lot use and handling.
I have the black iPhone 5 and have not had any of the issues some have reported (lucky me...or technically median-me, when you consider the volume of phones they will ship, in comparison to the number of 'bad' iPhone 5s). The phone does not feel 'cheap' or 'tinny' to me. While it is light and thin, it feels dense and solid like, beneath the screen, it is solid aluminum billet with no air pockets, just a machined chunk of alloy.
If the OP's iPhone does not feel this way, it must be defective, and should be returned. My experience has been that it feels industrial, solid, with very little flex and has a density that, until you feel it your hands, you may not understand. It's the kind of tactile experience that, if you didn't know what it was, but stumbled across it in the dark, you'd keep it to examine later. It feels like 'something' where some things don feel like any thing.