An annotated bibliography (sometimes called an "annotated bib") is a bibliography with your added notes, or annotations, below the citations for the compiled resources.
The style and length of a bibliography often depends on the assignment requirements. In MLA style, you treat it like a works cited page with the citations listed in alphabetical order and below each citation is your annotation of the source. An annotation typically involves explaining why the source is a relevant choice for your topic.
See the links associated with this question for examples and more information on annotated bibliographies.