The 38th Annual came out last year in 2011. It was in-continuity, but I don't recall Slott ever referencing it. It was written by John Layman (best known for the Image series Chew) and part of a crossover with Deadpool and Incredible Hulks. It featured alternate worlds.
The 39th Annual is coming out later this month. If previous annuals are any indication, it's in-continuity but it's not going to be significant to Slott's arc. It seems to be a self-contained story by Brian Reed and Lee Garbett.