Annotate and comment
Press M (or 2) for Annotate. Select text and press H to highlight, U to underline or N to add a note; the floating palette also has Strikeout, Text box and Draw (Pro), with five colours. Every note, highlight and drawing is listed in the sidebar's Comments tab, where you can reply, resolve and filter.
Mark up text
Press M (or 2) to switch to Annotate. The floating palette has Highlight, Underline, Strikeout and Note, then Text box and Draw, and the colours Yellow, Green, Blue, Pink and Purple.
With text selected you can also press H to highlight, U to underline or N to add a note. Right-click a selection for Highlight, Underline, Strikethrough and Add Note.
Draw (freehand) is a Pro tool. Highlight, underline, strikeout, notes and text boxes are free.
Move the palette
Drag the palette by its grip, or right-click the grip to dock it. View › Mode Palette has Dock Top (⌥⇧⌘↑), Dock Left (⌥⌘←), Dock Right (⌥⌘→) and Reset Position.
Change an annotation
Select it and open the inspector with View › Show Inspector (⌥⌘I): colour, opacity, style (fill, underline or strikeout), width, font size and the note text, with its author and date.
Comments
The sidebar (⌃⌘S) has a Comments tab listing every note, highlight and drawing. Filter by All, Unresolved or Mine, sort by Page or Newest, type in Reply…, and mark a thread Resolve or Reopen.
To take the notes elsewhere, choose Edit › Copy All Notes as Markdown.
Annotations are saved into the PDF itself, so other apps show them too.