Here is what I have done for the last several years:
First, if you submit regular status reports, keep a folder of those. This is easy, but it's not sufficient -- you'll still have to do a lot of work later to "roll it up" into an annual review. So, in addition, keep a log.
At the beginning of the review year I create a document (mine's a text file; use whatever works for you) in which I create sections for the goals, behaviors, or other "review line-items" that are likely to show up in the year-end review. Then, throughout the year, add entries to this log in the correct sections with your notes. Date all entries. Link or cross-reference related materials you might need to find later (wiki pages, bug numbers, email thread titles, etc).
For example, suppose you have a goal to improve your interpersonal skills. You've just had a high-visibility meeting with all kinds of potential for things to go wrong and you were able to explain the issues with the proposed plan, other ways to address the underlying needs, and so on, all without it leading to a shouting match. Don't assume you'll remember those details ten months later; make a note about that including the date of the meeting and key attendees. If it resulted in a new story on your scrum board, link it.
At the end of the year you should have dozens of these kinds of notes (maybe hundreds). Don't just dump that all on your manager; the goal here is to (a) cull this list for the most-important things to mention and (b) refresh your memory so if your manager brings up a particular topic, you're ready to discuss it.