title_body: Is there an ebook format that stores annotations in the ebook file itself?
upvoted_answer: Simple answer: NO
  
  To annotate inside an ebook would require the file to be altered on the device side and some sites will not allow this due to the DRM they add.  That said this is why Kindle creates a secondary file instead of in the ebook itself.  This would also depend on the app you are using to view the ebook on.  
  
  Some apps that allow Annotation for books:
  
  
  iAnnotate
  Subtext
  Mantano Ebook Reader
  iBooks
  Marvin