On Linux I use Xournal for this, which saves annotations etc. into an external file in XML format – and can be configured to automatically open that file along with the main PDF. Xournal is also available for Windows from the linked page.
Xournal screenshot (click to enlarge)
The XML format used by Xournal has another advantage: You can always edit that directly to fix some markers, be it text corrections or aligning the positions.
I'm using Xournal for over a year on Linux, and I'm quite satisfied. Only doing "light stuff" with it, though – and of course it takes a little "getting used to".
From their manual: "A journal is composed of one or more pages. Each page consists of a background and one or more layers stacked on top of the background. All drawing operations take place within a single layer. Xournal can be used to annotate PDF files, by loading the pages of a PDF file as backgrounds for a journal. By default, the PDF file used to generate the backgrounds will not be saved with the journal; instead, the journal file will contain a reference to the absolute location of this file."
