Annotations stay in one place, so don't expect to be able to use them to overlay a critical prop such as a moving car or bouncing ball. Also, annotations can't exist past the length of a YouTube movie. If you want to slap them at the end of your film to give users a choice of new clips to watch, let the camera roll for a good chunk of time after the scene has ended so that viewers have enough time to select their option.
Once you've uploaded all of your videos to YouTube, go into your 'My Videos' page and click on the Annotations button for the video that you want to serve as the main element (and likely the introduction) for your giant project. This single video should contain all the necessary YouTube-searchable elements--a title, description, tags, and so on. The clips you'll be linking to should be named something different and feature no tags of any kind. You want YouTube visitors to find one main video in their searches, after all.
Wait for your video to load fully once you've reached the annotation screen. To make your video interactive, slide the timeline bar to the part of the video where you want your viewers to select how they want the story to unfold. Pause the video and click on the icon in the lower-left corner that looks like a page with a plus sign. Select the annotation that looks like a rectangle with just the corners outlined. Position the box where you want users to be able to click to make their selection.
You can give your link a name that will pop up when users hover over the area, or you can leave it blank. You can also fine-tune the exact moment the box appears and how long it stays on screen, with the time controls to the right of the video window. Once you're satisfied, click on the chain-link icon to the left of the time to add the URL to the next YouTube video you want viewers to see. Repeat this step for all of the "choices" you need to create.
Now that you've created your first interactive link from one video to another, you have all the experience you need to set up as many links as you'd like between all of the videos you've uploaded. Annotating videos is an easy technique, but it's also a powerful tool that gives your users the ability to interact with your video and decide for themselves where they want their experience to go. You can pack as many annotations as you want into a single video, making the potential for interactive exploration truly limitless.
To see annotations at work, view our interactive video guide to building your own PC on our sister site, PC World (the site of our US-based sister magazine, not the UK superstore).