'The Annotated Alice' with annotations done by Math and Games writer, Martin Gardiner may be the first, and is certainly the best known annotated edition of a popular classic, followed by annotations of other major popular classics such as the complete Sherlock Holmes and 'The Hobbit'.
It is especially interesting to compare the Alice stories with Tolkien's novels, as both series of works are enhanced by their authors' love and professional involvement with language studies. The difference is that while Tolkien was a philologist, Lewis Carroll (Charles Dodgson) was a logician, so their slant on words and wordplay are a lot different. Tolkien is the poet of names and Carroll is the weaver of paradoxes and nonsense. Both, however, benefit from exegesis for those of us who are neither philologists nor logicians.
Carroll's works also need heavy annotation for his references to people and events of his day as they are masked by metaphorical references in the Alice books.
Reading these stories with Gardiner's annotations is virtually the only way to fully appreciate these works. Buy it!