Updated 1998/04/18
Annealing is Good. It protects your brass. It helps assure uniform cartridge performance. It makes pretty colors on the case mouths. Very good stuff.
Very simple, too.
Start with cleaned, sized, decapped brass. Stand them up on a cookie sheet. Make sure that you spread them out evenly.
Put the whole cookie sheet into a cold oven. Set the oven to whatever your target temperature is (380 is my favorite), and let it heat up.
Don't worry about the smell in the kitchen. That's just powder residue inside the cases burning off. It'll air out in an hour or so.
When the oven gets hot enough, turn it off. But don't open the oven, don't take the cases out, don't even make loud noises. Just let the cases cool back down to room temperature slowly. This cool-down step is the annealing. Everything else was just a precursor.
When you're done, there'll be pretty rainbow patters on the brass. That (mostly) comes off if you put the brass into a case cleaner (tumble or vibrate, don't matter).
The first time that you anneal a case, you might need to resize and run through the annealing again. Sometimes they change shape the first time you anneal them.