Impatiens, begonias, browallia, coleus, forget-me-nots,
pansies/violas, lobelia, torenia, and caladium are all
interesting choices. There are quite a few perennials
as well. Some of them you can plant and then treat as an
annual if you wish.

Consider coleus and hostas. If you are not a fan of hostas and feel that they are all either green or green and white and not for you, consider giving one a chance. Offhand, I would suggest June...muted tones of yellow, blue and green depending on where she is planted; slugs don't touch her and invariably people stop and ask what that beautiful plant is. Hostas are perennials and you asked for annuals, oops, so how about coleus? I have had great luck with these. They seem to come in every imaginable color or color combination. See the link below for ideas, and consider June!

Here is a link that might be useful: Avant Gardens

I also second the rec for hostas (there are SO many foliage choices), and ferns, both of which are perennial and will give you many, many years of enjoyment. You can then add annuals in/around the perennials for color punches. There are lots of other perennials that thrive in shade, too, check out the perennial forum for ideas.

In terms of annuals, of course there's the regular impatiens, but also New Guinea impatiens (large flowers and beautiful foliage, totally different of impatiens), browallia, begonia - both wax and tuberous.

For foliage effect, there's caladium, elepant ears, coleus, polka dot plant (hypoestes).

Plectranthus argentatus - coleus-like but silvery foliage that will light up a shady corner:
http://davesgarden.com/pf/go/1355/index.html

Ricinus communis - the castor oil plant, although it prefers sun, will create a dramatic foliage effect in shade as well, and is incredibly easy to grow from seed.

Thanks everyone
I never thought of coleus so I will give that a try. I guess I need to think more about foliage as an effect in the shade.

Threeorangeboys...I think you'll be sold on coleus and other forms of foliage once you try it. A whole new world of gardening was opened up to me when I was able to think in terms other than "flowers" only.