Direct detection experiments, which are designed to detect the scattering of dark matter off nuclei in detectors, are a critical component in the search for the Universe's missing matter. The count rate in these experiments should experience an annual modulation due to the relative motion of the Earth around the Sun. This modulation, not present for most known background sources, is critical for solidifying the origin of a potential signal as dark matter. In this article, we review the physics of annual modulation, discussing the practical formulae needed to interpret a modulating signal. We focus on how the modulation spectrum changes depending on the particle and astrophysics models for the dark matter. For standard assumptions, the count rate has a cosine dependence with time, with a maximum in June and a minimum in December. Well-motivated generalizations of these models, however, can affect both the phase and amplitude of the modulation. We show how a measurement of an annually modulating signal could teach us about the presence of substructure in the Galactic halo or about the interactions between dark and baryonic matter. Although primarily a theoretical review, we briefly discuss the current experimental situation for annual modulation and future experimental directions.