Yep, including it in the failure message would be helpful.  Do you think it's worth supporting exclusive mode like this?

``` ruby
expect(value).to be_between(0, 10).exclusive

# alternately
expect(value).to be_exclusively_between(0, 10)
```

I'm not sure if it's worth the effort to support that (given you'd have to do the comparisons yourself rather than just calling `between?`) but thought it worth bringing up.