After the anthem plays, the images of the dead appear in the sky.
During the Hunger Games, the anthem is played each night. After the anthem is played, the cannon goes off and a picture of the tributes who died that day appears in the sky for all of the others to see. That way they can keep track of their competition.
Night has just come when I hear the anthem that proceeds the death recap. Through the branches I can see the seal of the Capitol, which appears to be floating in the sky. … I take a deep breath as the faces of the eleven dead tributes begin and tick them off one by one on my fingers. (Ch. 11)
The purpose of the anthem and the pictures is to remind everyone of the stakes of the game and how many players are left. It is a macabre display, and is intended to frighten the remaining tributes while it entertains those watching at home.
Katniss uses the anthem several times to cover noise she is making, and to determine who is alive and who isn’t. For example, when the dogs drag off Cato she realizes that he is not dead yet because she doesn’t hear the cannon and see his picture.
Night falls and the anthem plays and there’s no picture of Cato in the sky, only the faint moans coming through the metal beneath us. The icy air blowing across the plain reminds me that the Games are not over and may not be for who knows how long, and there is still no guarantee of victory. (Ch. 25)
Even though Katniss and Peeta are the only ones to survive the games, at the last minute an announcement is made that says that two winners are no longer allowed. This means that one is supposed to kill the other. However, Katniss is not willing to kill Peeta. She chooses to use the poisoned berries she found to blackmail the Capital into making them both winners by threatening to commit dual suicide.
The anthem and cannons are just another mind game played on the tributes. Although it is useful information to know who died on a given day and how many competitors are left, the gruesome display serves to entertain the masses and terrorize the participants.