Should there be a comma anywhere in the following sentence?
Thank you Annie for making us proud.
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Commas and the Vocative Case
When addressing someone directly, writers should separate the name being used (e.g., John, Mary, my darling, you little rascal, my son) from rest of the sentence using a comma or commas
Yes, since it reads best with a pause after Annie - Thank you Annie, for making us proud.
It could also be considered a rhetorical device, along the lines of the sentential adverb - http://www.virtualsalt.com/rhetoric.htm