Sounds like you probably have some Hot Rolled steel, vs. Cold Rolled Annealed. The differences aren't a deal breaker for stock removal, by any means, but it can make things more difficult.
The Hot Rolled may or may not be pickled, but the coating you are seeing is likely just mill scale. Sometimes hot rolling mills send their stock through a fast pickling and cleaning process to get some of the major stuff off, but often times it can be shipped straight to the customer or processor. Width and gauge (thickness) have a little bit wider of a tolerance, and since it's not annealed, it may have some hard spots and burn up a few more saw blades and drill bits.
Cold Rolled Annealed on the other hand is pretty much always pickled (a bit slower, with a little more intensive of a "scale breaking" process), to clean the scale off, followed by being rolled to thickness, usually through a tandem rolling mill. This process will get it within a very close gauge (thickness) tolerance, based on order, and has a much cleaner finish. It is then almost always annealed since the rolling process makes it much more hard and brittle, and thus is it much easer to cut, drill, grind, etc...
The hot roll is typically a bit cheaper (much less processing involved), which is one of the reasons it's preferred for forging. There's really no point in having all of the scale removed, and stock rolled and tempered/annealed to a precise order, because it will all be more/less washed out in the forging process.
CRA, on the other hand, is often preferred for stock removal, and well worth the extra cost to most makers, as we do care how close the thickness tolerances are, and not having to burn up twice as many bits, blades and belts trying to removed mill scale.
Now, you can pickle smaller pieces yourself with some vinegar (heat to about 180F to 200F if you want faster results), and you can run it through a normizing and/or annealing heat if you have a forge or an oven to make things a little more easy to machine.
