A bibliography is a list of sources (books, journals, websites, periodicals, etc.) that someone has used for researching a topic. Bibliographies are sometimes called "References" or "Works Cited" depending on the style format being used. A bibliography usually just includes the bibliographic information (e.g. 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.