Is there a reason you want to write this out as a JPEG file rather than a GIF or PNG? JPEG is a lossy compression scheme and usually does a really bad job of handling sharp borders, which includes things like text on a solid background. (Also, you mention transparency, but I don't believe JPEGs support such a concept.)

As it happens, I was experimenting with the Annotate method myself just yesterday. This code worked fine for me:

my $image = Image::Magick->new;
$image->Set(size=>'300x300');
$image->ReadImage('xc:white');
$image->Annotate(
  font      => 'c:/windows/fonts/arial.ttf', 
  pointsize => 24, 
  fill      => 'green', 
  text      => "Image::Magick\nrocks dude", 
  x         => 100, 
  y         => 100
);
$image->Write('bigfont.gif');
[download]

I'm not sure what might be wrong with your code, but I wonder if it could have anything to do with the font string you're passing to the Annotate method. For testing purposes, I would consider hardcoding the name of a font that you know is there.

Hope this helps...