An annex is just a separate college building that is not on the main site. They're usually used for accommodation, typically for second years. Lot's of Colleges have them. They can give you a sense of independence, while still being able to use all of the College's facilities. Oxford is a really small city, and annexes are typically a 5 - 10 minute walk from the college. St. John's can also offer on-site accommodation for three years.