We did periodic performance reviews at the startup I worked for (which had about 15 employees at the time). It wasn't anonymous: I wrote up a document that evaluated my own performance and how I felt about the working environment, and my boss and I went over it together. I found it quite useful, and it was a good opportunity to step back from the daily routine, discuss plans for my future within the company, and set goals for the next year. One thing that I felt was important was that my boss really took the time to think about the work I'd done, and gave me some legitimately useful suggestions for improvement (the feedback wasn't just "Work harder.", for example).