The Annex The Annex features a variety of live music for a minimal cover charge. Madison Magazine (April 1999) scores the Annex as "perhaps the best mid-sized facility that Madison has to offer, with a bar in the back, low stage, and good sound." Frank Black & The Catholics, The BoDeans, Loudmouth, Doubledrive, Ekoostik Hookah, Burning Spear, Yellowman, Sugar Minott, Earth to Andy, The Bottle Rockets, Willy Porter, Dick Dale, Negativland, Yo La Tengo, Guided By Voices, U.S. Crush, and John Hammond are some of the more recognizable bands that have played in the Annex.