Annie Blackburn, played by Heather Graham, is the sister of Norma Jennings, from whom she gets a job in the Double R Diner. She appears in the final 6 episodes of the series and briefly in the prequel feature film Twin Peaks: Fire Walk with Me. Born on December 24, 1971 she grew up in Twin Peaks, but, after a painful romantic experience that led her to slit her wrist in a suicide attempt, she went to live in a convent. She hasn't decided if she wants to remain in the secular world, but is willing to see what it can offer her. Despite her lack of experience outside the convent, Annie is not naive about everyday sorrows and transgressions. She may be seen as a mirror for FBI Special Agent Dale Cooper.
She seems to possess an intangible quality to which he is drawn, almost hypnotically. Annie ultimately begins to represent a dark and painful truth from his past. Subsequently, she is cast into Agent Cooper's urgent quest to elude/capture the progenitor of his increasingly nightmarish existence. In the final episode of the series she is trapped in the Black Lodge by Windom Earle who brings her there as his "Queen" after she wins Miss Twin Peaks (Earle was playing a "sick chess game" involving real people prior to this). At the end of the episode Dale Cooper is himself possessed by the spirit of BOB, and he and Annie depart the Black Lodge.
In Twin Peaks: Fire Walk with Me, Annie appears to Laura Palmer in a dream bruised and bloodied to warn her of her death, but as the events are still to happen, Laura does not understand the message. Annie says, "My name is Annie, and I've been with Laura and Dale. The good Dale is in the Lodge, and he can't leave. Write it in your diary."
In a deleted scene from the film, she is in the hospital wearing the ring that Laura Palmer and Teresa Banks were wearing on the nights they were killed. Her wounds at this point appear to have been treated, but she is still in an apparent trance. She repeats her message for Laura to the nurse attending to her, though it is not clear if she knows who she is talking to (the shooting script indicates she is trying to communicate with the nurse, but these are the only words she can vocalize). The nurse proceeds to steal Annie's ring, unaware of its importance.
In another deleted scene, Cooper (trapped in the Black Lodge) asks The Man from Another Place where the ring is. The man replies that "someone else has it now," and silently confirms Cooper's fears that it is Annie.