Thanks for this helpful suggestion. I just tried this out today after I saw it mentioned here, and it seems to have the best annotation system of all the desktop readers I've tried. You can tag your notes and do searches on them. You can also print out or export the contents of the notes to a word doc or txt file.
Too bad there is no mobile version that can sync with the desktop one. That would be ideal.
As for the calibre reader mentioned, the only problem is there is no highlighting, and the bookmarking is kind of weak. It's OK for basic bookmarking but if you need to a lot of heavy annotations/notes, it's not sufficient.