An annotation is a summary and/or an evaluation of something.
Therefore, an annotated bibliography is a bibliography that includes a summary and/or evaluation of each of your sources. Depending on your project or the assignment, your annotations may do one or more of the following:
Summarize: Some annotations merely summarize the source. What are the main arguments? What is the point of this book or article? What topics are covered? If someone asked what this article/book is about, what would you say?
Assess: After summarizing a source, you need to evaluate it. Is it a useful source? How does it compare with other sources in your bibliography? Is the information reliable? Is the source objective or biased? What is the goal of this source?
Reflect: Once you've summarized and assessed a source, you need to ask how it fits into your research. Was this source helpful to you? How does it help you shape your argument? How can you use this source in your research project? Has it changed how you think about your topic?
Your annotated bibliography may include some of these, all of these, or even other features. If you're doing this for a class, you should get specific guidelines from your instructor!
To get a feel for what an annotation looks like and what it includes, here are some Example Annotated Bibliographies in different citation styles: