Lots of annuals produce seed which is easy to see and collect. Nasturtiums, Love in a mist, ageratums, poppies and calendulas are particularly generous with their seeds and easy to collect, save and grow. Which annuals are you thinking about?

Thank you for replying, at the moment I just don't know what annuals I'm thinking of. I'm a veg grower really so open to any suggestions. I'm becoming increasingly fascinated by collecting seed from the mother plant. This has only really come to light this season after successfully growing chilli, lettuce and tomatoes all from seed I collected last year.

It might be best to start with hardy annuals rather than half hardy, but the ageratums are the easiest half hardy ones I've grown. Antirrhinums are good too - once in they often self seed and sometimes too they survive the winter.
Hope this gives you a start.