Concept art for Star Wars: The Force Awakens confirmed that there were once tentative plans for Hayden Christensen to reprise the role of Anakin Skywalker in the sequels. He would have appeared as a Force Ghost, with both Anakin and Darth Vader's faces shown as a way of making it clear that, even in death, he remained conflicted between the Light and Dark sides of the Force.
Unfortunately, that idea was one of many that failed to make it into these movies, and while we did hear Anakin's voice at the end of The Rise of Skywalker, that was it for him (remember, Emperor Palpatine revealed that he had been communicating with Kylo Ren by posing as Vader).
Adam Christopher's latest Star Wars novel, Shadow of the Sith, reveals that Anakin - minus any sign of his darker half - has been guiding his son, Luke Skywalker, during his adventures.
With Luke seeking out Exegol, he heads to Tython, the planet Grogu reached out to him on in The Book of Boba Fett. As Luke attempts to use the seeing stone to find Emperor Palpatine's home (not that he knows the villain is alive at this point), he's attacked by Sith Eternal wraiths, prompting Anakin to appear and leap into action in order to fight them off.
However, the effort of that exhausts Anakin's spirit and he fades away after warning Luke that there's a shadow darkening the Force. It's strongly hinted that outside forces are affecting him, and this could tie into previous stories that have suggested there are ways to capture and imprison Force Ghosts.
Could Anakin have remained trapped on Exegol until Palpatine's defeat? If so, it's interesting to think about what role a freed Anakin could play in Rey Skywalker's future stories...