You can see the exceptions in the other replies, but the only material that I've used which fairly consistently had a number of very hard spots in it, was OBF old bed frame angle.
The OBF stuff doesn't MIG weld well, either, IME. I've had deeply penetrated welds pull out completely, to the root.
Some stainless seel alloys work harden during cutting, and can dull a HSS cutting tool edge instantly if feed force is paused, but other common steels don't.
I always use a reliable cutting lubricant, not oil or some other improvised fluid, and generally keep feeding pressure steady 'till the cutting is completed.
Any new hot rolled that I've bought in recent years, still has the scale on it. I'll grind the scale away for weld areas, otherwise I just clean it well, and paint. Diluted muriatic/hydrochloric acid (available in many retail stores for etching concrete, etc) is effective at removing the scale when the parts can be submerged in the acid solution. After treating with the diluted acid, I generally rinse with baking soda water, then fresh water rinse, quickly/force dry and apply oil (new 30W).
The same acid treatment generally works well for rusty steel and cast iron parts, although with light rust, I often treat similarly with a diluted phosphoric acid/metal etch solution, then dry as mentioned previously.