you should have spread out more to avoid aoe abilities and block the baron from any skillshots that might have stolen it, warded the jungle to see who would come to contest baron, swept the baron pit of any enemy wards so that any one who goes in goes in blind, won a team fight in good shape before doing baron in order to discourage a further team fight at baron, or not have done baron in the first place because. even if you have a slight lead, taking damage from baron AND the enemy team is basically committing to a 5v7.
in the end you lost not because Annie has an aoe stun, you lost because you got complacent.
if you mean to say that you weren't fighting at baron then how did you get a "huge lead" without a team fight happening at all?
if so then that's completely different. you see while your team may have had a "huge lead" the gold is not divided equally between your team. one player, let's say the adc, may have 20k gold while the rest of your team sits at lets say 10k. that puts your teams gold value at 60k. if you have a 10k gold advantage then the enemy's team has a net worth of 50k. if at the start of the battle they can 100 to 0 your adc now your teams' 40k is up against their 50k, they are now at an advantage even though you have the lead. from your description it seems that annie managed to 5 man stun your team with her ult. this could have been be prevented by spreading out more but that's for another time. if she did ult you and her team was in a position to immediately follow up they can concentrate and kill your team's frailest members before they take any effective actions. let's say in those 1.5 seconds they took out your adc and support now your teams's mere 30 worth of gold is up against their 50k. that's a greater advantage then your team had when everyone was up. The fact that she was even able to see and capitalize on that small chance of victory speaks volumes of her insight, determination, and experience.
in short tactics >>>gold