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I read Fantasy almost exclusively, but I find footnotes to be annoying and usually don't read appendices or the like--I prefer to have information delivered within the story itself, and I sort of enjoy not knowing everything. For me, an intriguing hint of information goes a long way for the stuff that I don't need to know in detail. Appendices, on the other hand, tend to be very dry, hard for me to get through, and I almost always find the information in them unnecessary or redundant if I've been paying attention to the story. That said, I can understand wanting to know more information about the world that couldn't logically fit into the proper story, and appendices are a better option than footnotes for people who want the bonus info, I'd say.

One thing I have occasionally liked and tried to use myself a few times is short excerpts from made up in-world books, placed at the beginning of chapters like in Robin Hobb's Farseer Saga, or even in an appendix or such. It has to fit with the nature of the story being told, but I find it more engaging than when the author just sort of dumps a bunch of info in the back of the book.
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