From a historical point of view, it wasn't common for whole swathes of enemy territory to be annexed at once. The best example I can think of off the top of my head would be Alexander, but his conquests would be better thought of in terms of turbo-annexation (although, unlike turbo-annexing, conflict was still going on afterwards).
More common was the conqueror demanding that the subjugated enemy should pay a hefty tribute rather than directly controlling the land. Often they'd force the defeated enemy to give land to other neighbours, too.
Why was this the case? There are a few reasons:
1. You don't have to control the land yourself. Populations don't really like being under the control of foreigners. We see this a lot in recent times, too: Israel, Yugoslavia, many of the former Soviet-controlled nations, etc. By imposing a penalty, you get all (or even more!) of the benefits of owning the land without the problems associated with it.
2. It's a good display to your neighbours that you aren't just going to conquer them next. Rulers tend to get a little jittery when their neighbours are conquered.
3. If they don't pay, then you have a good reason to go to war with them again
For example, when Rome defeataed Macedon in the Second Macedonian War, they took no land at all and demanded 1000 talents (that's a lot of gold!) in tribute. The reason they did this was because the war started as assistance to Rome's allies in Greece (the Achaean and Aetolian Leagues didn't like Philip V's expansion in Greece); if Rome had decided to annex any territory, then they would be no better than the Macedonians in the eyes of the Greeks. It was a great propaganda point, when the Roman commander proclaimed loudly to his Greek audience that "all of the Greeks in Greece and Asia were now free."
As a sidenote, the Aetolians saw through this and asked the Seleucids to attack the Romans. A couple of battles later and the Seleucids were having to pay 10,000 talents in tribute...
