I agree with the posts from a few months ago that US citizens are taxed on world wide income. If you are a US citizen and you win a tax free Canadian, a tax free UK, a tax free Irish or any other tax free lottery outside the US, your tax situation would most likely look like the Massachusetts and California situation mentioned earlier. You would have to pay state income taxes in addition to federal income taxes. If there is a gambling winnings tax treaty between/among the foreign country, the US, and the state in question, residents of the US may get taxed at a reduced rate.
The US is not the only country that taxes the lottery. There are a lot of countries that tax lottery winnings, but I think the US is the only country that has an annuity and taxes.
I am aware of the tax situation in the following countries:
Some Lotteries that don't tax:
Belgium - Loterie Nationale and Euro millions
Canada - I assume all games are tax free
Denmark - all other games
Finland - all other games
Germany - all games
Ireland - all games and Euro millions
Norway - all games
United Kingdom - all games and Euro millions
Some Lotteries that do tax:
Israel - Lotto (a formula, 25% is the base rate)
Italy - Lotto (6%), Superenalotto (NA)
Luxembourg - Euro millions (15%)
Netherlands - Dutch Lotto (25%) and the State Lottery (0%)
Portugal - Euro millions (based on game type: 25% or 35%)
Some Lotteries that do tax but have special conditions:
Australia - sales tax at the time of purchase
France - National Lottery and Euro millions
Winnings are tax free first year, but winnings are subject to wealth tax the following year. I also believe there is a sales tax (27%) on French lottery tickets, very difficult to confirm the sales tax aspect.
Spain - El Gordo and Euro millions
(The prizes can't be transferred outside Spanish territory. However, if the money is taken out of Spain it will be subject to taxation.)
Switzerland - Swiss lotto and Euro millions
(Winnings are taxed with a 35% federal withholding tax, which is returned to the taxpayer a year later. Winnings must also be declared as income. Each of the 26 Cantons ("states") has its own tax policy.)