Annie is the childhood friend of Jean Grey. While playing with Jean, Annie was accidentally struck by an automobile and consequently caused her sudden death. During the incident, Jean's telepathic mutant powers manifested for the first time. For a moment Jean could feel Annie's thoughts while she was slowly slipping away, and in the end, died. Jean was devastated by the death of her close friend and only because her parents asked the help of Charles Xavier, Jean could overcome the grief she felt.
When Jean is finally able to deal with Annie's death we find out that Annie was the reason that Jean had difficulty controlling her powers originally. Jean coming to terms with Annie's death allowed Jeans powers to be more controllable. Jean would say that she would live her life in honor of Annie and try to live enough for both of them.