CuNiFe, Copper Nickel Ferrite, is an alloy that has both favorable magnetic properties and is malleable for machining.
If you were to take an alnico magnet and attempt to thread it like a screw, the magnet would shatter. CuNiFe is malleable enough that it can be threaded on a lathe or even roll threaded if the quantity were high enough.
What makes CuNiFe so rare in the guitar pickup application is that when a magnet material is annealed, the manufacturer does this last step under very high magnetism to orient the magnetic field. If you were to take a block of CuNiFe and simply cut threaded rods out of it, the parts would not work as magnets becasue they were never annealed and oriented properly. CuNiFe is around, put to find any in rod form that was manufactured properly is extremely rare.
The sonic properties of CuNiFe are somewhat unique as well. It's the only pickup I've seen that sounds best with 1 meg pots. The pickups have an awesome clarity like no others making them unique.
Some people really dig it.
Souns clips: Click on the ones that say "CuNiFe" http://www.soundclick.com/WRHB