NCSA Mosaic had the feature back in 1993. Check out this post from Marc Andreesen on the www-talk list: http://1997.webhistory.org/www.lists/www-talk.1993q2/0416.ht...
A rather obscure browser by the W3C called Annotea also had support for web annotations. I vaguely remember downloading and installing it just to try annotations.
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