Citations allow you to track and document where the information you've used in your research came from and to give other scholars/artists credit for their original work. These are some common situations that require citations:
Citations help your readers trace back to the sources you've used. Your citations should to include all of the information listed below:
Books: Author, title, publisher, location of publisher, year of publication
Articles: Author, periodical title, periodical volume and issue number, publisher, year of publication, page numbers
From the Purdue OWL:
A bibliography is a list of sources (books, journals, Web sites, periodicals, etc.) one has used for researching a topic. Bibliographies are sometimes called "References" or "Works Cited" depending on the style format you are using. A bibliography usually just includes the bibliographic information (i.e., the author, title, publisher, etc.).
An annotation is a summary and/or evaluation. Therefore, an annotated bibliography includes a summary and/or evaluation of each of the sources.
Find more information, including examples and citation formatting at the Purdue OWL here.