I found the notes in the Annotated Lolita [2] very helpful, unfortunately I haven't really found an annotated version of M&M (beyond what's in [1]).
[1] https://www.amazon.com/dp/0143108271
[2] https://www.amazon.com/Annotated-Lolita-Revised-Updated/dp/0...
https://www.amazon.com/Annotated-Lolita-Revised-Updated/dp/0...
For something ever so slightly lighter, consider "Pnin"; for some heavy (but delightful) going, consider "Pale Fire". Bring time and a drink.
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I found the notes in the Annotated Lolita [2] very helpful, unfortunately I haven't really found an annotated version of M&M (beyond what's in [1]).
[1] https://www.amazon.com/dp/0143108271
[2] https://www.amazon.com/Annotated-Lolita-Revised-Updated/dp/0...