Marking up search queries with linguistic annotations such as part-of-speech tags, capitalization, and segmentation, is an important part of query processing and understanding in information retrieval systems. Due to their brevity and idiosyncratic structure, search queries pose a challenge to existing NLP tools. To address this challenge, we propose a probabilistic approach for performing joint query annotation. First, we derive a robust set of unsupervised independent annotations, using queries and pseudo-relevance feedback. Then, we stack additional classifiers on the independent annotations, and exploit the dependencies between them to further improve the accuracy, even with a very limited amount of available training data. We evaluate our method using a range of queries extracted from a web search log. Experimental results verify the effectiveness of our approach for both short keyword queries, and verbose natural language queries.