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. Depending on your project or the assignment, your annotations may do one or more of the following.
Your annotated bibliography may include some of these, all of these, or even others. If you're doing this for a class, you should get specific guidelines from your instructor.
(above definition from the Purdue Online Writing Lab)