Clients might don't always understand the importance of linking comments to movie times! Adobe's Clip Notes is useful for annotation of comments but people I know find QT Movie NoteTaker (Mac/Win) easier. It opens anything QuickTime can, and there's no need "doing window burns, waiting hours for renders, making DVDs, spending hours encoding, and then there’s the hassle of the review process -- having to continually hit pause on a DVD remote and write down the timecode you see on the screen."
If you just want to share a few files and use those annotations programs -- and don't have the budget for a service or webspace to store them -- you could also use file sharing services like Xdrive, SeeFile, and YouSendIt, although privacy terms may vary. It's also possible to make videos private at video sharing sites like YouTube.
There's a number of new services to do review and approval, among others tasks, including: Xprove, CineSync, FilmFlip, PIXSytem, MediaBatch, and MESoft. Studio Daily has a new short sketch about another system, pictured above: Create a Reliable and High-Res Review Session with Skype and syncVUEpro.