Out of date; see: http://www.solomid.net/guides.php?g=26784-cynicaleffect-annie-build-guide for an in date guide :)

Let's begin...

This is my build for Annie ; The Dark Child. This build concentrates on being a Tough ap nuker.

Pros

A massive nuke
A potential aoe stun
A sexy bear
Incredible potential for dominating early - mid game.
Epic skins (if you're into that kind of thing)

Cons

Easily focused if you're doing well
Really annoying voice
Mana is a problem mid game ( this is minor )

As you may, or may not have read, my objective is to make a tough AP nuker who can withstand team fights and be maximum disruptive. Because we are not going flat ap you will have to Focus better to make sure you are an asset

Item Sequence

Catalyst the Protector

As You can see, I left the Void Staff at the end out, this is because

You rarely get this far,
There are a number of choices if you do get there.

Core

Core meaning of course, item's which I get, every game without fail.

Choices

This Skill sequence Flow chart thing here shows 2 routes.

Route 1 : Path of the Nuker.

Route 2 : Path of the Survivor.

Explanation

: Is the item which I usually start with, it is mainly to get a quicker Mejai's Soulstealer However it is the highest AP item which you get off of the spawn pool, allowing you to last hit easier with Disintergrate.
: At this point you might feel quite squishy if you do not have the Greater Quintessance of Fortitude's and so a Doran's ring will soften the blow of alot of out problems.

Bad mana regen.
Low Health
Little AP while building next items.

Sometimes, if the game is going seriously down hill, I might get 2 of these, as they are cheap and effective.
Is up next, bringing us a wonderful 180 ap fully stacked with 15% cooldown reduction at 20 stacks. Now, assuming you get stacks, this is THE item. However, if you don't. You could go for Morello's Evil Tome. But, I wouldn't particularly recommend it, seeing as it is better for healers, but Morello's Evil Tome is like a dulled down version of 20 stacked Mejai's Soulstealer
: These are standard AP caster boots, they give magic penetration, which always helps, with your Mark of Magic Penetration And Archaic Knowledge, Magic penetration is at an all time high :o.
: A solid Health and AP item which stacks over time, which is why you need to as much as you can to get it early, if you have enough gold saved up before your boots, go for it, get and early Rod of Ages and proceed to face roloololol.
: When paired with Rod of Ages Gives you nearly 3k hp. This makes you less of a target, if you put your self in your enemies shoes, go for 3k hp annie with a huge nuke or the Twitch with less than 2000 hp who is an easier kill. They would probably go for Twitch. In addition, i would always, unless i am struglling to do damage, get the Giant's Belt Before the Blasting Wand in Rylai's Crystal Scepter.

Path of the Nuker

: This item is a flat ap item, no questions asked one of the most worthy investments since Zhonya's Ring. IF you don't like Rabadon's Deathcap then i would suggest getting a Zhonya's Hourglass. For a similar amount of AP and gold for a sexy active it too is a pretty investment.
: The item which should help more late game than early game, which is why in the BIGGER NUKE path, it occurs at the very end. At this point tanks must have realised the damage that you can put out and so they have got themselves a Force of Nature and so you get a Void Staff and now you are laughing with 49% magic penetration from Archaic Knowledge and various other sources of magic penetration from Sorcerer's Shoes and Mark of Magic Penetration you should be dropping tanks. Not, however saying that you should be focusing them, just if you get caught in a scrap with them.

For Both Paths

Zhonya's Hourglass grants a solid 100 ap and 50 armor, aswell as the old Zhonya's Ring active placing your self in an invincible state for a few precious moments. If. You are going flat ap nuker, this could be the item for you, in the same way, if you are also going to survive and be a utility Annie then this is also a perfect item, with an effective Sanguine Pool at your disposal to break all aggro and allow your team to help you this is the pinnacle in survivability and a certain wonder in flat ap.

Path of the Survivor!

Abyssal Scepter Grants you a tasty bunch of Magic Resist which should allow you to survive those pesky casters and in addition gives you even more nuking power from Ability power and an aura which lowers enemy magic resist which helps your whole team, so you are a team player. GO YOU!
Guardian Angel, grants you second life, wonderful if you are getting focused. Just wait for yourself to die and then watch their team try to body camp you while they are getting destroyed by your team, get up ghost the **** out of there, charge your stun and run back in win the team fight and win the game. In a perfect world. Guardian Angel wins you games.

New item.... shiny.

This is the new ap oriented tenacity item, tenacity being each% gives you a % of cc reduction. This is very nice against heavy cc teams. However i would not recommend this highly, the cc reduction is 10% less than mercury treads.
As a result, my conclusion on this item is it has lackluster ap with only 50 and lackluster tenacity compared to mercury treads. So if you do come up against a heavily cc stacked team then buy mercury treads because dat is where da money is at.

Situational Items

: Deathfire Grasp is the perfect item to take down health stackers such as Vladimir who cannot, either way he viably builds get away from gaining health. As a result, by endgame he might have something like 3000 hp and 650 ap, thats a tough ap nuker. Now, combine that 3000 hp with Deathfire Grasp's passive and he has already lost 30% of his CURRENT health. 30% of 3000 = 900 hp. Thats alot to be taking off of a bulky caster and combine that with your full nuke, Vladimir might be near death or nearly dead.
However, i would not get this item in every game. The item's which i have mentioned in my 2 paths work very well against most teams, however this item should only be used in situations where you are getting shut down by tanky dps such as Jarvan IV Garen Maokai etc.

: Banshee's Veil is generally used in every game at high elo, at the end of the game, the match will descend into shutting down key opponents with heavy cc. Banshee's Veil stops one of these attempts weather it be Rocket Grab Cryptic Gaze or Twisted Advance you are suddenly a much less viable target than that 2000 hp Twitch who is running around with 0 defence being the biggest glass cannon the game has ever seen. I would tend to get Banshee's Veil against co-ordinated, heavy cc teams who are targeting you. However, this item will lose out alot on the ap department, losing you ap at some section of the game which could be the difference between winning and losing but so could that last stun, its a tough decision but still a great item none the less.

: I would first like to state my love for this item, as my love is so great. I might buy these every game or i might buy these every 10 games, but they are a cheap source of ap and cooldown reduction to get you back on your feet after a poor start. Another situation I might get it in, is where you get your Mejai's Soulstealer but you havn't got any kills yet and their team isn't going to let you get them easiily. Getting an Elixir of Brilliance will make trying to get those stacks a bit easier and it will make you glow blue, and that's just lovely.

This is a point in alot of builds which people tend to ignore.
Because they aren't level 30 etc, but these runes are not ESSENTIAL like jungling runes might be, these just give you more potential to dominate early game especially

Right so, Greater Mark of Magic Penetration These are just nice flat magic penetration runes, they could mean the difference between a kill and a 8hp troll face getaway so they are worth it if you can get them

Next up is Greater Seal of Scaling Mana Regeneration : seeing as mana is an issue minorly into mid game especially in team fights where you are spamming all your skills, especially Incinerate which eats up alot of mana these, again can mean the difference between having enough mana to cast on that getaway Zilean so once again, worth it but not core.

Then we have Greater Glyph of Scaling Ability Power These are wonderful little stones which grant a reasonable amount of ap, which is reasonable, but once again seriously minor compared to gameplay and item choice which will be covered later on in the guide. But, put yourself into this situation : Your team is getting destroyed, you are doing okay, but you were getting shut down by a half decent Vladimir in mid who was stopping you from killing minions, as a result you don't have many items or stacks or AP. But you have your staple income of AP from these runes. So as a result you can continue to do reasonably well and scale okay with your opponent minor amount of feed! Isn't that just wonderful?

Now Quintessances, I take 3 Greater Quintessence of Health because early game Annie is quite a squishy sort of champion. So to avoid as i like to call it 400 HP FEED BUILD we can slap these in to make Annie, ironically, a bit more bulky.
However, if you don't want that you can always take
3x Greater Quintessence of Magic Penetration but I would heavily recommend starting with a Dorans ring and then building the Amplifying Tome into Mejai's Soulstealer As you will probably be fairly squishy in the early game.

An Alternative to Greater Quintessence of Fortitude

You could, instead take 3x Greater Quintessence of Ability Power and then start with a dorans ring, this would take away the survivability aspect and faster Mejai's Soulstealer however it would give you greater early game dominance in terms of ap.

Alternative to Greater Glyph of Force

An alternative to these glyphs could be Greater Glyph of Cooldown Reduction x 9 these will give you more potential to last hit in the early game and a small cooldown reduction for Summon: Tibbers in the late game, so these are a worthy alternative to the Greater Glyph of Scaling Ability Power
^
Thanks to RedBlueJeans for this suggestion

But my main point would be that, Although runes are really nice and help a bit, they cannot influence your gameplay or item choice, which is all you really need to dominate.

Because these sections are reasonable minor, I decided to condense them into 1 section.

Masteries

Since the mastery revamp in season 2 offense is the best route for Annie, following a 21 0 9 setup taking all the awesome offense masteries which now send annie into overdrive damage. After offense I then go straight into utility taking movement speed and buff duration for the blue buffs which your Jungler should help you to pick up early.

Summoner Spells

The Good

Ghost : Ghost is especially useful now, after the ranged carry speed nerfs you will be a massively slow champion the whole game round, Ghost helps for

Ganking
Comboing Easier
Getting away
Making it difficult to target you

Ganking: You're in mid, eye spy a 200 hp Renekton On top lane. Just walk calmly into the bush and THEN POP GHOST AND SPRINT LIKE AN ECSTASY FED ANNIE TO TOP, GANK RENEKTON, SPRINT BACK TO MID. The problem comes when the mid you are against, calls a missing and you are already there. The stages which they go through for calling misssing. Wait , 1, 2, 3, Call ss. By 3 seconds you are already half way up river with a charged stun.

Comboing easier
Because Annie is generally a combo based character, flash doesn't help as much. With flash, you can pull off one combo, with ghost, you can probably pull off 2 in a team fight.

Getting away
Quite self explanatory, holy **** 5 man gank, troll face away.

Making it difficult to target you.
In a jungle team fight, there is alot of grass around usually, at this point, popping Ghost isnt a bad idea. Just pop Ghost and run in and out of different pieces of grass after using cooldowns. People who are trying to target you, unless they have heavy cc will find it a nightmare to continually move around and try to kill you at the same time which makes ghost very valuable.

Ignite : I won't go into Ignite as deeply as Ghost as its uses are more limited but still useful. It is used generally to kill people getting away, or more commonly now, to put more damage into a large combo. However its other use, which is commonly overlooked it the 50% reduced heal, this can effectively shut down Dr.Mundo with his Maximum Dosage.
Flash : Another, mobility, / utility spell, much like Ghost Flash can help with most of the things which i stated in my "ghost mini section" but it can only help for a shorter amount of time, or have a more limited amount of uses.
Exhaust : I've never really been a fan of exhaust on Annie Although i use it alot on my other champions which i play such as Renekton and Galio I have never really tried it on Annie. But its general use is to shut down heavy carries like Ashe and Tryndamere to stop them from obliterating your entire team or to win 1v1's and turn tables in them. But i feel as if it is still perfectly viable. Just not as good as Ghost / Ignite mega combo.

Teleport : Never really appealed to me as Annie as its uses are limited for such a Character when compared to Ghost, Flash and Ignite. But, if you find that you are never where you need to be then take Teleport. If you feel as if you are always anywhere but the teamfight when **** goes down then take Teleport, however i would take it over Ignite rather than Ghost any day.

The Bad

Clarity : It will only help early game as it deteriorates into late game, much like heal. and anyway, early game should be last hitting with Disintegrate so mana shouldn't really be a problem until mid game.
Cleanse : Although I might get flame for this, i feel as if, you aren't really doing your job that well. In team fights , your job is to, NUKE and get the **** out of there. If you drop your nuke and then get stunned. A cleanse will hardly save your life and if you don't die from being stunned all you do is turn around and NUKE again,again and again. The moral is High risk high reward. If it requires dieing to get 3 kills, then so be it Cleanse doesn't support that moral.

The Ugly

Revive : no
Fortify : good but leave it for the tanks who benefit from it's passive.
Smite: This is a jungling spell for junglers although i half wish Annie was a jungler, she isn't so Smite isnt particularly viable in any way shape or form.

Seeing as Team Fights are 80% of this game i would like to explain a bit more about them and Annie's role in them.

Annie's General Role in team fights is to kill, this seems obvious but i see too many Annie's Run in stun and run away. No don't do this you run in stun drop your entire nuke, ignite someone and continue to rape!!!!
Your rotation should be this:

So, charge the stun first off, if you don't have your stun, open with Disintegrate and start charging it until you have it for Summon: Tibbers for a vital aoe stun.
Now, you may be thinking. Why don't i use Incinerate before Disintegrate?
Well my friends, Disintegrate, has a massively low cooldown, if you use it before Incinerate you are bound to have it ready to finish off anyone trying to get away or to stun whoever is chasing you no?

Generally you will want to go mid, but if you don't then try to lane with these people!

Friends!

Hard Stuns

I'm Sure there are more like this but these are in my opinion some of the best. Taric Being one of my favourite, with a heal in addition to his wonderful stun. He makes a wonderful laning partner.

Taunts

Taunts are wonderful, the longer people are left inside your range of destruction the better, however out of them I would probably love Galio the most, with his awesome blend of support and tanking abilities he make an excellent laning partner for Annie.

Supports

Support lanes are wonderful for Annie Anyone who can support her to stay in lane or get her kills is a valuable asset, Out of these, i would probably favor Morgana she has a long snare and her burst isnt that bad, in addition to Black Shield which is absolutely incredible.

Randoms

Swain is an epic laning partner for Annie with strong cc with a snare and slow, he gives Annie what she lacks and allows Swain to hobble his *** over to inflict even more pain, overall they compliment each other perfectly.
Evelynn although she is an invisible character she can support Annie like a boss, she has a slow and heavy nuke much like annie, except from a melee range, if you have good communication with vent or teamspeak , skype etc. This combo will melt faces.
Blitzcrank is another tank who excels with Annie although lacking a taunt or stun he has a knock up which is basically a stun and his infamous Rocket Grab which mercilessly pulls in people for raping. You may want to save a stun if the Blitzcrank is any good with his grab.

Enemies.

Hard Stuns

In general, your best friend is your worst enemy, with single target stuns such as Cryptic Gaze you are basically marked for being destroyed, you are vulnerable and you will probably die if in range of these beasts.

Silences

These 3 will cause endless pain, in stopping you getting your nuke off, if you cant pull the entire thing you will appear to hit like a wet fish, this is not good and these people should be your main targets.
Kassadin being one of your main targets with his uniques ability to dive in and our causing insane damage and shutting you down you should try and stun him when he Riftwalk's into your team and ping him up.

Anti-carries

These will cause endless havok to you, with their also unique ability to choose their target, either ignoring or not taking any damage from any other sources these champions will make it difficult for you to play your role in team fights.

In general you will be wanting to level Disintegrate whenever possible, this will help so much for early game farming and harassment as well as it being on a short cooldown and it then becoming a bread and butter part of your nuke and it dealing a rather surprising solid amount of damage and level 9 when it is level 5
At which point you realise oh look i only have 2 points in Incinerate and so you level that as much as possible and getting your ult when needed. Incinerate becoming another core part of your nuke along with Summon: Tibbers and then Disintegrate you will be putting out an impressive amount of damage to all of your opponents. As a result of the want to get this amount of nuking power im afraid, unless you're against a team of auto attackers Molten Shield will have to be leveled last. Oh well, im sure you can live with that.