LessWrong now has side-comments. This feature is in beta; you can turn it on for yourself on individual posts using the triple-dot menu below the post title, or enable it for all posts by going to your user settings and checking the "Opt into experimental features" checkbox in the Site Customization section.

Side-coments on LessWrong are conceptually similar to the side-comments you may be familiar with from Google Docs and other places, with one key difference: side-comments are placed automatically by lining up blockquotes. As a result, many historical posts already have side-comments on them! Side-comments are also still displayed in the comments section below the post as usual.
Side-comments take the form of a comment icon in the right margin, which expands when you mouse over it to show a comment. Click on the icon to pin it open. It looks like this:

To create a side-comment on a post, just write a normal comment which quotes an excerpt from the post, in blockquote format. (To create a blockquote, type >
). You can also highlight some text and click the button that appears to start a comment pre-seeded with a quote containing that text.
By default, side-comments are filtered to comments with 10+ karma (plus comments by the post author). They aren't available on mobile and require that your screen is wide enough to have some space in the right margin.
If a comment contains more than one blockquote that could be used to place it as a side-comment, it will be placed based on the first one. In order to appear as a side-comment, quotes should be an exact match, including formatting; there is some provision for "..." ellipses, but it's fairly limited.
Please give feedback on how this affects the reading experience! If the feedback is positive, this will leave beta and be enabled (for comments above a karma threshold) for everyone.
There's an option on the new/edit-post page for authors to disable this on their post. (The option is currently only visible if you've also opted into beta features in your user settings.) This changes the default from show-10+-karma to hide-all. This may be useful if comments are likely to derail readers from finishing the post, or contain spoilers.
Ah, that's good to know about clicking on it. In retrospect I'm surprised I didn't realize that.
And that makes sense about being difficult to come up with a better option. I was thinking of having the comment appear in the middle of the screen to the left of the comment icon. That has the downside of being more intrusive. My sense is that the upsides outweigh the downsides, but I'm not particularly confident. I also think it makes sense to not let the perfect be the enemy of the good with this feature, especially wrt releasing fast and seeing what users think.