Annabel is Humbert's childhood love and first nymphet. Humbert often references their thwarted sexual encounter (her parents took her away) and her death from typhus at an early age as having possibly made him who he is today (a pedophile). Humbert sees Lolita as a reincarnation of this original nymphet – the only way to get over Annabel.
Annabel is named after the woman in the poem "Annabel Lee" by Edgar Allan Poe. In fact, Humbert and Annabel's young love is described in phrases borrowed from Poe's poem. The part of the beginning of Chapter 1 – "Ladies and gentlemen of the jury, exhibit number one is what the seraphs, the misinformed, simple, noble-winged seraphs, envied. Look at this tangle of thorns" – refers to the poem's lines: "With a love that the winged seraphs in heaven / Coveted her and me." If you're interested in learning more about "Annabel Lee," check out Shmoop's guide to the poem.