401K early withdrawal versus early annuity withdrawals?

I have been out of work a while and need to close an Annuity or my 401K. Both accounts were opened with WAMU which is now Chase. My 401K was a rolled over. I have heard that there is a 10% penalty for both options. The 401K is not doing well. Its actually has less money that what I started with. The annuity on the other hand is doing much better. Can someone please advise me