A great resource for questions about citing and proper documentation of sources is the OWL guide at Purdue University. They offer the following description of an annotated bibliography:
A bibliography is a list of sources (books, journals, Web sites, periodicals, etc.) one has used for researching a topic. Bibliographies are sometimes called "References" or "Works Cited" depending on the style format you are using. A bibliography usually just includes the bibliographic information (i.e., the author, title, publisher, etc.).
An annotation is a summary and/or evaluation. Therefore, an annotated bibliography includes a summary and/or evaluation of each of the sources.
To illustrate, check out the following videos:
This is a great, in-depth, how-to tutorial on creating annotated bibliographies, courtesy of the Lucy Scribner Library, Skidmore College: http://lib2.skidmore.edu/tutorials/BuildAnnotatedBib/story_html5.html