We buy ours over the phone when we make the room booking and they send you some (plastic) vouchers to redeem once you get to WDW. Don't forget if you spread your trips out you can get two annual trips out of one annual pass. e.g we're going on 29th Sept this year, but probably won't go into the parks (and activate the pass) until 30th Sept - as long as the last day of next years trip is 30th Sept 2009 we can use the same annual pass.
Ian