With the current increase in attention to Marvel's cosmic line with the upcoming Guardians Of The Galaxy movie and the current Infinity storyline, Marvel are planning to publish an all-in-one collection to get you up to speed, for merely $125. The Annihilation Omnibus.
Odds are it will include Annihilation: Prologue, mini-series Silver Surfer, Super-Skrull, Nova and Ronan the Accuser, and Annihilation as well as Heralds of Galactus, Nova, Drax the Destroyer: Earthfall #1-4 and big chunk of the Thanos series and maybe the sequel Annihilation Conquest?
880 pages worth. A lot of spacey comics.