.mobi files both don't support annotations. Which is unfortunate since they are some of the most popular formats. It looks like Kindle supports adding notes to ebooks but they are stored separately from the ebook file itself and I'm a big believer in 'the truth is in the file'. PDFs allow annotations but they don't reflow like most ebook file formats.
This question is slightly different from the one I listed below in my comment because that question is asking about a note file format and I'm asking about an ebook file format.