Encourage your boss to provide constructive feedback any time he notices a particularly positive or negative action. Suggest that you meet quarterly, informally. The agenda would be to discuss accomplishments over the past three months, establish some goals for the coming three months, and identify a few things you should continue doing, start doing, or stop doing. The quarterly meetings would be an opportunity for you and your supervisor to get to know each other better. Then if you still have to do a formal annual review as part of the HR policies in your company, at least there are know surprises and it would be less stressful.
Counter offers are always a tricky situation.
You want talented people to remain in your long-term business network. If on the other hand, they are running away from your organization, then it is worth spending time with the person to see if you can fix the problem. But these are short term solutions. Long term you have to reexamine your use of what I call psychic income. Psychic income is the intangible reasons why employees stay with your company.