A wind blew out of a cloud, chilling My beautiful Annabel Lee; (lines 15-16)
This is the first time that death gets mentioned in the poem. Notice that the speaker doesn't say she died. Actually, he never uses the word "death" in this poem at all. Why do you think that is? Could it be because she isn't dead to him. In any case, this first mention is just a hint, and it gives us a strong image of this beautiful young girl getting sick, her flesh growing cold.
To shut her up in a sepulchre (line 19)
"Sepulchre," (which is a fancy old word for a tomb, or a room where you would put a dead person) is a perfect Edgar Allan Poe word. It's kind of an unusual word, the image it calls up is extra spooky, and it even sounds a little bit evil. The idea of Annabel being "shut up" in this tomb is the perfect image of how her family (and even the universe) is trying to keep her away from the speaker. She has crossed into another world, and the sepulchre is the symbol of that change.
Chilling and killing my Annabel Lee. (line 26)
This is the only moment where the speaker directly mentions the fact that Annabel Lee has died. This line is repeated from lines 15-16, but the word "beautiful" has been replaced with "killing." Even that little change is enough to make us feel how sharp and intense this tragedy is. The speaker almost slaps us with the fact of her death.