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.
Can ever dissever my soul from the soul Of the beautiful Annabel Lee: (lines 32-33)
Whatever you think about death and the afterlife, people usually think of the move from life to death as a pretty big deal. Once you cross over, you don't come back, and you lose touch with the people on this side. Poe's stories often mess with this line between life and death. People come back from the dead, people who seemed dead aren't dead after all. In this poem, it can be hard to tell if Annabel is gone or not, and it's clear that the speaker doesn't think a little thing like death should get in the way of their love.
In her sepulchre there by the sea, In her tomb by the sounding sea. (lines 40-41)
This is where the poem leaves us. It's definitely a little grim, and that big scary sepulchre looms over us. At the same time, there's something almost peaceful about the rhythm of this line, and the idea of the "sounding sea." Even though hanging out with dead people isn't our idea of a good time, it seems possible that the speaker has found some kind of peace, even after Annabel's death.