Annie has been somewhat of a neglected mystery. She is only seen or referenced in one episode, yet the producers of the show have stated that she will, in fact, be important. Fans of the show have lately been dismissing the return of this character, However, due to the new Mysteries of the Universe videos recently released by ABC a satisfactory "answer" to her disappearance on the Island after the events of "The Man Behind The Curtain". This is only viable, of course, if you agree with another theory of mine about who Annie is. The scene with young Ben in the classroom with the volcano experiment during TMBTC has led me to believe that Annie is the daughter of Horace and Olivia Goodspeed for these reasons:
1) Annie looks similar to both Horace and Olivia 2) Olivia instructed Annie to lock the doors, indicating some level of trust
So why has Annie been missing during the events of Season 5? With so many young Ben scenes, it's likely that if Annie was still on the Island she would be seen with him. In one of the new Mysteries of the Universe videos Olivia is interviewed. She clearly states that she returned back to the mainland from the Island. COnsidering Horace has a relationship with Amy in 1977 we can deduce that Horace was originally with Olivia, their relationship failed and Olivia left the Island. If she left the Island, and Annie was indeed her daughter, it is very possible that Annie left the Island with her mother before 1977.