Cox was born in San Juan, Puerto Rico. She attended high school at Lincoln Southeast High School in Lincoln, Nebraska, where she wrote for the school's newspaper, The Clarion. She graduated from the University of Chicago with an AB in History in 1994. She began graduate school at the University of California at Berkeley, where she was studying American history, but quit to avoid the student loans and instead became an editorial assistant at the publishing company Alfred A. Knopf.

Cox is married to Chris Lehmann, formerly of The Washington Post, New York, and Congressional Quarterly, and lives in Washington, D.C.

In 2009, on an Amtrak train from New York to Washington, Cox had a severe allergic reaction after eating a lentil salad. Fox News host Greta Van Susteren saw her choking and came to her aid with Benadryl, after which Cox recovered. Cox later personally thanked Greta for saving her life.

Cox is the former executive editor of Suck.com, where she wrote under the pen name "Ann O'Tate." Prior to joining the Suck team, she was an editor of the progressive online magazine, Bad Subjects.

In 2004, Cox became the founding editor of political blog Wonkette. Under her tenure, Wonkette was a sportive commentary on Capitol Hill Washington Politics, as well as more serious matters of politics and policy. Cox and Wonkette gained notoriety in the political world for publicizing the story of Jessica Cutler, also known as "Washingtonienne", a staff assistant to Senator Mike DeWine (R.-Ohio), who accepted money from a Bush administration official and others in exchange for sexual favors. On January 5, 2006, she officially announced her retirement as the blog's editor and her imminent transition to "Wonkette Emerita".

Her novel Dog Days, a satire of Washington D.C. life for which she was reportedly paid $250,000, was published on January 6, 2006. On July 27, 2006 she was named the Washington editor of Time.com, where she also writes "The Ana Log". She is also under a mid-six-figures contract with Penguin to write a nonfiction book.

On April 12, 2007, Cox claimed on the Time magazine website that she agreed to appear on Don Imus's radio show, despite the show's history of racially and sexually charged content, because she wanted to be considered part of the media elite. Cox wrote: "I'm embarrassed to admit that it took Imus' saying something so devastatingly crass to make me realize that there just was no reason beyond ego to play along. I did the show almost solely to earn my media-elite merit badge."

Cox announced on December 5, 2008, that she would no longer be contributing to the Time magazine's Swampland blog.

On January 19, 2009, she debuted on Air America Media as its first Washington, D.C.-based national correspondent.

She is a frequent guest on The Rachel Maddow Show. She also guest hosted the show in Rachel's absence on September 4, 2009.

In 2009, Cox also became a contributing editor for Playboy.

On the February 17, 2010 episode of ABC's 'Top Line' webcast, it was announced that Cox had become the Washington correspondent for GQ magazine.