Annie is a former Games victor who had a breakdown as a result of the trauma of the Games. She's Finnick's lover and is one of the people imprisoned in the Capitol to be abused after the rebels broke Katniss out of the Quarter Quell.
Annie and Finnick's relationship is somewhat parallel to Katniss and Peeta's. In both, one victor must care for the other; one of the two has become psychologically damaged by the Capitol. Both Annie and Peeta were temporarily lost to the Capitol, while the rebels saved Katniss and Finnick. Katniss and Finnick endure yet another kind of mental and emotional torture, then, waiting to find out what has happened to the people they loved.
Near the end of the book, Annie votes against a final, symbolic Hunger Games. She's confident that Finnick would vote the same way. Despite the suffering she's endured, she's not out for vengeance, and isn't willing to exact it on another innocent group of children.
In the last pages of Mockingjay, Annie also provides new hope and a means of looking forward, as she's pregnant with Finnick's child. Despite all the death the characters have just witnessed, a new life is just beginning.