On the web, I like footnotes more provided they link back to the referencing text. On my blog, I love to use footnotes for little tangents and asides, apart from their usual task of providing references. Not every post/article needs them.

Sidenotes are cool, but they are a skeuomorphism not amenable to fluid layouts. I feel plain vanilla in-line disclosure elements work better, and they might be better for accessibility too.

In dead tree books, I enjoy both. Marginalia can elevate the text. Footnotes are always in context of the whole page, which I can view all at once. No scrolling needed.