I grew Calendula in winter 2010 but not this one, and I wish I had seeded them again. It absolutely IS an annual, peters out and gets very leggy and ugly once the weather gets hot and muggy. But it very well might self-sow if you let some seeds mature on the plants. The colors go great with nasturtiums, which are my other winter staple. They don't make it through summer for me, either.
Bright yellow and blazing orange are the most common colors, but I got some fancy varieties with pastels, pale yellow, cream and apricot shades - I think they were called "Art Shades" - from Burpee's catalog. I collected seeds from the pastel plants, but they most likely won't come true to seed.