Perhaps the best part of the annotation is the included illustrations: photos (including many of Donovan's photos of relevant architecture) maps, images from Lovecraft's letters, and the most welcome addition of some of the original artwork that accompanied the stories in the pulps.
The 20-some stories are well-chosen, although (for good or ill) they present the slow evolution of Yog-Sothothery from its nebulous origins to its full flowering, while the Dunsanian, Dreamlands-y stories have been excluded.
The textual annotations are mostly interesting and provide relevant background and/or additional detail. Dictionary definitions are blessedly few. Some of the notes annoyed me somewhat, in that they winkingly accept the stories as true, or 'apologize' for incorrect details. Klinger has also produced an Annotated Sherlock Holmes, and I think this is more an attitude of the Baker Street Irregular set, to attempt to conform reality and the sacred texts. Just as an example, when "Inspector of Police" Legrasse appears, Klinger presents the names of the actual holders of that title circa 1908, and then declares that "It is more probable that the narrator confused the officer's title -- that the latter was likely a mere junior official of the NOPD given the task of the strange raid described following."
That's not as winky as some of the others, but it was the first I found hunting randomly. If someone were actually using these notes for insight, they might lead to confusion as Klinger mixes the real with the fictional.
Other notes seem to be more snarky editorial comments rather than annotations. In reference to the "nauseous musical instruments" of 'The Hound', he writes "The narrator is exaggerating here: The instruments could hardly be at fault, only the sounds that St. John and he made on them." I am neither illuminated nor amused.
Not that I researched everything, but there are a few (and only a very few) errors that leapt out at me. I believe he gets the conversion between the Gregorian and Julian calendars backward, or rather confuses which calendar is Julian and which is Gregorian. And though Klinger may be technically right (the best kind of right) that Palæeogean (C'mon Howie, why not Palæogæan?), though obviously formed from Greek roots to mean pertaining to the old earth, does not appear to have ever been a word used in that sense (apart, I suppose, from Lovecraft) -- Klinger's gloss is "A Byzantine dynasty from the eleventh century to the seventeenth century CE. Lovecraft evidently means simply "old" -- palaeology is the study of antiquities."
From my knowledge of numismatics, I knew that what Klinger is referring to is the Paleologan dynasty. A frightful error! Though not so bad as Joshi's hilarious gloss on lemur! Buffoons!
OK, having laid down the erudite smack, I declare this a very fine, informative, and genuinely useful, book.