My experience on coatings + research:
Bright Finish - Good for general purpose tapping, lower cost, especially good for aluminum. Most of my taps are bright finish.
Steam Oxide - Black porous surface finish. Rust resistant and seems to hold oil better through the cut, good for steel. A few of my higher end taps are steam oxide.
AlTiN - High wear resistance, good for tougher steels and cast iron, very bad for aluminum (aluminum in coating chemically binds to work). Common for high end endmills for steel cutting.
TiN - Gold coating, improved wear resistance over non-coated, can be used for aluminum. Higher lubricity than uncoated for slightly less tapping torque.
TiCN - High wear resistance, harder than TiN but cannot be used at high temp (not an issue for tapping usually)