Annuals are more of a British thing. It is a special book put out once a year in hardback for a certain theme and they are all generally about the same size and oriented primarily for youth and children.
It might be comprised of a special set of stories for a character or a compilation of stories previously released in other formats. It would include special features like one page features, photos, etc. This one says it will have puzzles and colouring pages, for instance. It might have photo stories, comics, etc.
You get lots of annuals in Canada but I do not know if the USA has them. I am sure they are common in Australia and New Zealand as well. (As well as all the other British Commonwealth countries.)
