So am I doing the flash to. Tower dive or more like a bush ambushing attempt? I'm only asking so much so I know what I'm getting in to Annie being squishy and all. One thing I found hillarious what vs ults like fiddle and nunu. In one game I had both raging hard they both used their ults at the same time. I threw up molten shield waited half a second and tibber bombed both. Most epic double kill ever.

For the items I suggest:

Catalyst (Keep this until you feel like you need to complete BV)
Sorc. Shoes
3 Blasting Wands
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Now you choose what you think you'll need first from these three:
Abyssal Scepter (MR, MR deduction)
Rylai's (HP)
Zhonya's

Another good tip is the AoE double stun with Annie. You can get hidden counters with Molten Shield that will let you double AoE stun in rapid succession.

Skill level progression:
Q
W
Q
W
E
R

As you know every spell cast gives you a counter for stun. E lets you build counters with out using your stun. At level 5 get Molten Shield, charge a stun, and hold it.
Cast Molten Shield (Hidden Counter 1), cast again for (Hidden Counter 2), and a third time for (Hidden Counter 3)
As soon as you hit lv6 Flash and Ult Tibbers stunning your target (Hidden Counter 4)
Follow up with Q (Counter 5) and you have stun charged again.
Cast W for second AoE stun.

This is great for team fights. and is really good solo. The double stun keeps them locked down for tibbers to attack and if you have CD speced you will have time to hit them with Q again before they can move.

Also if you took ignite + flash then make sure you cast ignite on your target and it is a sure kill.