The Kindle DX doesn't allow markup/annotation of PDFs. Nor do they attach to its text-to-speech features. (Some discussion
here, and some in other threads around the forums.)
The iRex devices do (but they're very expensive compared to other eInk readers), and the Sony PRS-700 has some annotation ability, but it's limited.
I expect we're a year or two off from good PDF markup ability as a common feature. Manufacturers are still trying to figure out what their target demographic wants enough to pay for (or rather, what they want enough to forgo known wanted features for something else offered by the competition). Endless blog posts, comment threads, letters and emails don't seem to affect this process much, because the manufacturers are trying to capture the mythical Everday Person Non-Techie Ebook Reader, the kind who buys $8 books at supermarket checkouts and therefor will be happy to spend $300 on a reader that lets all those books fit in their purse or pocket.
Some manufacturers pay attention to what devoted ebook readers want, assuming that they'll convince other people to try it. But a lot of them seem to be listening to their marketing gurus rather than anyone who works with the devices... guaranteeing they'll continue to get the customers they already have. (That, and most of the device makers seem to think they couldn't possibly make money on the devices unless they tie a bookstore to it.)