All airline mileage card with 1:1 mile/dollar ratio has annual fees.
There are a few cards with 2 dollar=1 mile conversion. These cards
have no annual fees. I know FirstUSA/United Airline has such a card
"United College Plus".
Other cards that can earn mileage in certain way without annual fees:
1. Hotel cards. These cards are associated with some hotel chains.
Money spent are converted into hotel reward points, which can then
be converted into airline frequent flyer miles. However,