A couple of things to add:
- TuxGirl is correct, you can highlight an entry in the dictionary and will be appended to 'My Clippings'.
- Calibre 0.6.45 and above has a new feature Fetch Annotations (in the Send to device menu) which will read the contents of any .mbp files associated with files that calibre knows about on your Kindle, so you can read your annotations in calibre's metadata viewer, in the comments section.
- Calibre 0.6.46 (not yet released) will also fetch 'My Clippings' and add it to the calibre database, so you can review all of your annotations in one location.
- Using calibre as your front-end to the Kindle allows you to mark a book as read (using a tag). You can build a catalog of your content, showing all books marked as read with a checkmark. See this thread for more info.