Dear Muhammad;

since you gave a general question, my answer will be the same unless you specify more. Generall speaking annealing is used in material treatment to eliminate residual stresses, to increase order (crystallinity), and to modify some physical properties such as density and so on. Regards

Annealing plays a vital role in 

1. Improving the crystallinity of a sample. 

2. Obtaining desirable crystal phase.

3. Reduction of different defect states ( Annealing TiO2 in oxygen environment reduces the oxygen vacancies and hole trap centres).

4. Generation of oxygen vacancies (annealing in Ar produces oxygen vacancies in metal oxide nanomaterials).

5. Even helping in calcinations.

And more....

The following may happened during annealing

1. Water molecules starts to remove 

2. Enhance the crystalline quality

3.contaminations are removed

5. Oxygen vacancy generated