Annotations are simply notes or comments. If you have trouble understanding Shakespeare, you may want to buy a copy of "Hamlet" with annotations on each page that explain all the vocabulary words and major themes.
The word annotation comes from the Latin root words ad, meaning "to," and notare, meaning "to note." The act of adding explanatory notes to something is also called annotation, as in "Your friends might be amused by your annotation of the text, but I don't think the professor will accept "No one knows and no one cares!" as a reason for why the protagonist acted the way he did."