Depends. A website that has PGN resources, like here or chessgames.com, will only generally have annotations if they are included in the PGN (eg, Fischer's 60). Personally, I find youtube a great resource. Here's a couple of cracking examples:
http://www.youtube.com/user/kingscrusher?gl=GB&hl=en-GB
http://www.youtube.com/user/jrobichess?gl=GB&hl=en-GB
Generally speaking the best annotations are found in books. Try Kasparovs exhastive series, or something by Eric Schiller for less advanced players.
Is there a site by any chance that does this? Even better would be move-by-move analysis (do they have a name for this?), I sincerely feel that this would be the best (and easiest) way to improve your game.
I was looking around, it'd be pretty interesting if a site existed with a fritz-like interface and an audio complementing the moves as they go...almost as if the grandmaster is there with you.
Does anyone have any ideas?