I know that one of the first things a coach will tell a chess player is to analyse their chess games, but the question is how exactly you should do that. Here's my answer. Pick a game, and WITHOUT the help of a computer, play through the chess game one move at a time, but before you go on to the next move, try to find on your own what move will be played next. Then, once you think you know, go to the next move. If you were right, great job. If you were wrong, think about why the move that actually happened was played, and then decide if you like your move better, or that one and why. Just keep on doing this until the game is over and it will help you improve.
Here is another great game to annotate. 
This post includes an instructive game with themes of positional sacrifices. Here it is.
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Usually people think of computer chess as hundreds of boring yet sound games that are almost identical. This game, however, is a brilliant win over Rybka 4. Vitruvius 0.84b plays white. Vitruvius is known for playing in a very humanlike manner. It is my favorite analysis engine even over Houdini. Here is the game.
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