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I like an appendix or a spleen, I mean, glossary.  ;-)  Maybe a cast of characters, if the cast is big enough, but I do agree that most of that should be delivered in the story.  It shouldn't be necessary information, but something that readers *can* use if they're of a mind.  With footnotes, I think it's hard to hit that balance between too much information and interesting side note, and if done at the wrong time it can really steal the tension out of the story.

Obviously, Terry Pratchett can do it.  But I think it's easy to do it badly, and then it's just an annoyance.
 
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