In July, I asked a similar question about indices. Since then I've made a number of additions to both lists. If you know of any other works of fiction that use footnotes or have an index, please let me know. Comments and elaborations are welcome. And when I say footnotes, I include endnotes.
Footnotes are comments by various editors who had rejected the manuscript.
Foundation , Foundation and Empire and Second Foundation by Isaac Asimov. The Mezzanine , Nicholson Baker . Footnotes annotate the gospel the characters seek. Has an index, too. The Testament of Yves Gundrun , Emily Barton.