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I'm currently debating whether to buy Jonathan Strange & Mr. Norrell and one of the things weighing against it is the fact that it's heavily footnoted.
As I recall, the footnotes had some of the best moments in that book.

I personally don't have any strong feelings about footnotes one way or another. For in-depth background information, an appendix can be more appropriate, but a footnote is good for a one or two sentence long clarification, be it the definition of some made-up word, or a blurb on some historical figure or event. You really have to carefully consider whether or not it's worth breaking the flow of the story for, though. If it's something crucial to understanding the main story, it should really be in the main text. If it's a little bonus, or something that only the sort of fantasy reader who reads footnotes will care about, then put it in a footnote.

I also feel like footnotes are more of a hassle in ebooks, both for the author and the reader, so that's something to take into consideration.
 

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But nothing is as bad as the "while our hero battles for his life agains tthe ravenous undead hordes, let us digress for a moment about the founding of the empire and why exactly the king always wears yellow on the 3rd tuesday of the month...."
I bet that story is way more interesting than whatever tropetastic things the hero is up to...
 
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