We examine the expected signal from annihilation events in realistic cold dark matter haloes. If the weakly interacting massive particle is a neutralino, with an annihilation cross-section predicted in minimal supersymmetry models for the lightest stable relic particle, the central cusps and dense substructure seen in simulated haloes may produce a substantial flux of energetic gamma-rays. We derive expressions for the relative flux from such events in simple haloes with various density profiles, and use these to calculate the relative flux produced within a large volume as a function of redshift. This flux peaks when the first haloes collapse, but then declines as small haloes merge into larger systems of lower density. Simulations show that haloes contain a substantial amount of dense substructure, left over from the incomplete disruption of smaller haloes as they merge together. We calculate the additional contribution to the flux caused by this substructure, and show that it can increase the annihilation signal substantially. Overall, the present-day flux from annihilation events may be an order of magnitude larger than predicted by previous calculations. We discuss the implications of these results for current and future gamma-ray experiments.