On the GNOME desktop environment you can use the Draw On Your Screen GNOME Shell extension.
If you don't know how to install GNOME Shell extensions, check this thread: How do I install and manage GNOME Shell extensions?
Note: The GNOME Shell extension website shows that the extension supports GNOME versions up to 3.38 (Ubuntu versions up to 21.04). For versions after it, the extension has been packaged by Debian and can be installed by running:
sudo apt install gnome-shell-extension-draw-on-your-screen
So, if you're getting an error as shown in the following screenshot:

just run the command above and the extension should be installed. You may also need to reboot your system. Thanks @Someone for the screenshot and for mentioning the issue.
After installing the extension, you can toggle it on and off by pressing Super+Alt+D (this is the default shortcut, you may change it in the extension's settings). There is also a ton of other shortcuts that you can customize in the extension's settings.
The extension offers a plethora of annotation settings, accessible by right-clicking with the extension enabled:

Also, here are some useful Tips and Tricks for using the extension.
gnome-shell-extension-draw
andCoccinella
on Ubuntu 20.04 – Oct 17 '20 at 08:17