It's definately been done. Here's a fully machined aluminum frame. I don't think you want to know the cost, the car was built for the CEO of Oracle:
http://www.kirkhammotorsports.com/book_aoe/ This car has a fully fabricated and polished aluminum frame and components. I can't seem to find any photos of just the chassis though:
http://www.konoctimotorco.com/bluevelvet.htm