Comments and annotations are not actually part of the PDF page content; but, sit in a layer over the PDF page.  Different PDF viewers have a variety of printing options for printing comments and annotations.  Following is where to find these printing options under different versions of Adobe Acrobat:

• Acrobat 5 – File->Print->Under the “Print Range” section, check “Comments”
• Acrobat 6 – File->Print->Under the “Print What” section, select “Document and Comments”
• Acrobat 7, 8, 9, X,  and XI – File->Print->Under the “Comment and Forms” section, select “Document and Markups “