You may find some annotated games here
http://wwwu.uni-klu.ac.at/gossimit/c/chess.htm
You can find SCID 3.1 to replay the games (see the downloads section) or get chessbase light 2009 for free to play over the pgn games.
http://www.chessbase.com/DOWNLOAD/cblight/index.asp
To answer #1 I use winboard, you and google it to DL it for free. Just click the pgn button at the bottom right of anyone's diagram or game, copy the text and paste it into the viewer. From there you can save it etc.
I'm not sure about #2, you can go to chessgames.com for a huge free collection of games, but they're not all annotated.
I just played through a game posted by Loomis in this thread. I found his annotations very helpful and my thought was, I should save this game so I can review it another time. I know there are a lot of GM games out there worthy of study, but unless they are annotated, I often find myself wondering why a particular move was played.
I'm sure if I scour these forums, I will find other games I'd like to save, and I know how to save the .pgn file. But I have two questions:
1) What is a good (free) program to replay these .pgn games? I like the boards here, but from what I can tell, I would have to open a new forum post and insert a board diagram in order to play through a game from my hard drive. Is there an easier way to do this on this site, or is there a program I can download that will allow me to step through a .pgn?
2) Is there a good source of annotated games out there freely available? It would be nice to get a good head start on my database of games.