There are significant differences in OWL DL concerning modeling and reasoning.

Modeling: For annotation properties, you cannot place any axioms (OWL 1 DL) or only few axioms (OWL 2 DL: subsumption, domain and range) on them, and you cannot use them in class or property expressions, such as property restrictions. You can use data properties in much more scenarios. On the other hand, you can use an annotation property with all of literals, URIs, and blank nodes as its values, even in the same ontology. In OWL DL, data properties can only be used with literals as its values.

Reasoning: Annotation properties have no semantics and are therefore completely ignored by a reasoner (at least in OWL /2/ DL). On the other hand, data properties have semantics and are used by the reasoner to infer new information.

These restrictions do not hold for OWL Full. There, annotation properties /have/ semantics and are therefore /not/ ignored by the reasoner (they are special object properties). And data properties can also have URIs and blank nodes as their values (they are special object properties as well). The difference there is that you can infer from the application of a data property that the value must be a data value (an instance of rdfs:Literal), even if it is a URI or blank node. You cannot infer this from the use of an annotation property.