Remove the grip covering the handle of the bat. Since the grip is often made out of rubber or leather, it cannot be recycled with the aluminum. You may need to use a knife to remove the grip.
Call your local recycling center. Ask them if the aluminum bat can be recycled with everyday items like aluminum cans and aluminum foil. If not, ask them if they have any way of recycling the bat. If they cannot help, don't throw away the bat quite yet.
Take your aluminum bat to a scrap metal dealer. They are going to be able to take a wider variety of metals that your local recycling center might not be able to handle.
If you are interested in receiving financial compensation for your aluminum bat, call around to different recycling centers and scrap metal dealers. Just as aluminum cans cans often be traded in for cash, the same goes for an aluminum bat.