Finnick could put a face to Annie's name when she was reaped, but he'd never spoken to her before that day for more than passing hellos.
Annie and her district partner were the first two tributes for Finnick to mentor alone. Mags was too ill to help much because she'd suffered her stroke a few months before.
Annie was the one who made the first move.
When President Snow first told Finnick that he'd be sold, Finnick didn't initially believe the threat. As a result, his family died in a rigged accident.
Annie was the first person Finnick told the truth about his lovers in the Capitol. After her victory, he wanted to warn her what life as a Victor could be like.
Finnick didn't sell himself to any Gamemakers in order to help Annie's Games, because he wouldn't have been able to do so. Snow wouldn't let anyone cut him out of being the middle man.
Finnick had wanted to propose to Annie for about a year before the rebellion, but had hesitated because he felt that his situation would make any marriage a mockery.
Annie learned about her pregnancy the day Finnick left to go fight. She had intended to tell him when he returned.