Apple Mail doesn't have a way to do this natively. I can't think of another email client that does what you're describing either. Here are some ideas and workarounds that might help you accomplish something similar to what you describe; perhaps one of them will suit your needs.
The closest option in Apple Mail is to use flags. That only gives you the ability to flag a message. You can't even add a note, let alone highlight the text and annotate it.
You could try a third-party application like MailTags (Mavericks 10.9 support is currently in beta). It's a paid application with a robust tagging system, as well as the ability to add notes. This isn't a perfect solution since it doesn't allow you to highlight specific text within the email. MailTags has a free demo; you might want to download it and see if you can reach a solution that works for you.
Another option would be to try Outlook:Mac. It has both categories and flags built in. You can also do things like create a task or a note from a message. Once you have created a task or a note from a message, you can do things like highlight text, but not annotate it. It also isn't the original message, but rather a copy of the message.
If you do find something that works for what you want to accomplish, please do share it here. Being more effective with email is a goal for many people, after all.