That's similar to what I'm thinking of. Note, though, that these are not really tied to any particular spot in the text, and, if there were such a spot, it would be tricky to pinpoint exactly (see my #4).
An asterisk in the main text would suffice, if the side-note is appropriately close. Alternatively, gently color the background of the box and the background of the text it should be linked to.
That coloring idea sounds like a nice interface. It also shouldn't be too much trouble to implement with a bit of JS, so that the colors are chosen automatically.
