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Galvanized or aluminized?
Galvanized is, essentially, a zinc plating. Aluminized in an aluminum plating (I think). I don't think it really matters. There are special requirements for welding aluminum, but I don't think the coating will be a major issue.
In either case, your welding the steel pipe. If the coating turns out to be a problem, then remove it (grinder or wire brush) prior to welding.
just make sure your joints are clean and just about any welder will do a nice job, danz is right, i'd go with a flux core wire and do it outside on a windy day...those fumes are nasty
I've welded a bunch of galv. conduit and these guys are right - grind off the coating first. It doesn't stink real bad or anything, but I'm told it'll make you sick.
I'd go to a tractor supply place and get regular exhaust tubing. I got two 10' pieces for about $15 - $20 each. Since I didn't have a bender, I cut wedges out of the pipe, folded it, and welded the seams. Not high perfoemance, but it works.