When my mom was growing up in England, she always looked forward to getting an Annual under the Christmas tree. Annuals are still popular today in the U.K. (just do a search at amazon.co.uk for "annuals" to see the variety available) but they are almost unheard of here in Canada. You can actually order the traditional titles through amazon.ca (e.g. Rupert, Beano, Dandy or the Friendship Book) but most bookstores won't have a clue when you ask for them. The exception to this is used bookstores who often have a 1950s Rupert or Beano annual collecting dust in the childrens area.
In the library, we have a large collection of annuals going as far back as the late 1800s. In general, you can expect an annual to contain stories, pictures, puzzles, riddles & jokes, and more recently comics. The bulk of our collection runs from the 1920s through the 1950s though there are some earlier titles and a few later. A notable late entry is the Canadian Children's Annual (warning: webpage appears to use 1996 web technology including spinning logo) published from 1975-1988 -- we have the whole run. Here are a few images of the older ones we have (click for larger views):
I just love the art in these, and some of them are quite collectible. CollectingBooksandMagazines.com has a great (if cluttered) article with images; and there are a few more images over at Fulltable.com.