Exporting geodatabase annotation, plus another feature class containing points, polylines or polygons, to a shapefile was successful in ArcGIS 9.1. The process fails in ArcGIS 9.2.
ArcInfo users can use Feature To Point, then label the shp using the TextString field.ArcView/ArcEditor users can calc XY coords for the anno > creating an event theme > export event theme to shp > labeling on the textstring field.