The DCU's super-hero espionage comic Checkmate has a supplemental website whose address, www.gideonii.com, was hinted at within the story. Username CARL DRAPER, password wilhelmina; subject to change. It's ostensibly the diary of a minor character within the story, written in the first person, with entries detailing various elements of the series in greater depth and hinting at future plot events.
Fall Out Toy Works has a good chunk of background info glossed over in the comic (Baron's rise to power, the Toymaker's previous involvement in an anti-Baron smuggling operation/art collective, the Second Industrial Revolution, etc.) mentioned in more detail on the comic's minisite. The section the information was included on is currently broken. Whoops. A portion of the info on the minisite was made available in a promotional article, but it only focuses on the Second Industrial Revolution and Baron's rise to power.
The Ultimate Spider-Man video game was initially stated to be canon to the comics. Eventually, this opened up a lot of plot holes and continuity issues, so the writer decided to retell the events of the game in the series while changing the bits (such as having Gwen Stacy replace Spider-Carnage as the Final Boss) that wouldn't make sense in the comic.
Several of Ultimate Spider-Man's first encounters with other heroes and villains were only collected in an Ultimate Marvel Team-Up limited series. Not only is it hard to find anywhere else besides online stores, but it resolved a minor sub-plot from the main book. This leads to moments that may leave the reader scratching their head, such as Curt Connors (The Lizard) having a talk with Peter, or Peter seeing Daredevil as one of the many faces flashing in his mind during a near-death experience, despite the fact those two characters hadn't made a single appearance in the main series until then.
Jason Robinson's The Demon Mages features a massive world... that's mostly explained and described in its in-depthCharacter Blog. Most of the character development (and the existence of one of the cast members!) is only seen on the blog, too.
Legion of Super-Heroes v.4 had a role-playing sourcebook that included various pieces of info and backstory not in the comic itself. It's particularly notable because Volume 4 was set five years after the previous series and featured a radically different status quo, with many unexplained situations and characters which had histories the audience knew nothing of.
Very few of the characters in Fables get their origins explained in much detail (or at all). This is fine for say Bigby Wolf or Snow White but some of them are very obscure and Frau Totenkinder's name can't be found in an actual fable because Word of God says she's every unnamed witch in Fairy Tales. So the background before they come to earth is all there in the manuals, the dozens and dozens of not internally consistent manuals.
This is actually extensively played with in the course of the story. All Fables that join Fabletown are granted a General Amnesty - meaning that their pasts are essentially 'forgiven' and thus, never need to be spoken of, ever again. As for Totenkinder herself, there is an in-universe theory that mundane recognition grants power - neo-revolutionary Goldilocks, for example, does not seem to be capable of dying because of how incredibly popular and enduring her story is. Totenkinder has stated she doesn't think much of this theory and has gone to great lengths to keep stories featuring her as low-key as possible, and yet she seems to display the same ability, dying again and again but always coming back. The one story she appears in that simply 'won't go away' - heavily implied to be Hansel and Gretel's story, in which she meets her end burned to death in her own oven - her name is never mentioned. 'Totenkinder', which literally means 'Child Killer', is very likely not remotely her real name.
This can, however, be slightly frustrating when dealing with relatively major supporting characters whose stories can be hard to place without context - such as 'Kay', a man with a sliver of a broken magic mirror in his eye socket that is cursed with the ability to see all the evil done in the life of anyone he looks at (The Snow Queen) or Doctor Swineheart (a Grimm story about three dueling doctors). Luckily, the narrative usually tells us the basics.
Lack of background does in fact have a role to play. In Jack of Fables we meet an African fable who says all his stories were censored by the villain who intends to wipe out fables by removing all their stories. (It was Little Black Sambo.)
The spin-offs are pretty much necessary to understand some of the points. 1001 Nights of Snowfall makes Totenkinder's identity 100% certain, along with clearly up various other backgrounds of characters, and "The Great Fables Crossover" is downright nonsensical unless you've been reading Jack of Fables.
The X-Wing Series comics, after their abrupt end, had an issue of Star Wars Handbook come out, which elaborated on various ships and the backstories of a number of pilots, major villains, and villains of the arc.
Watchmen had three RPG modules made of it in the 1980's, which incorporated information directly provided by Alan Moore and Dave Gibbons. Said info greatly fleshes out the characters' histories and provides details about their equipment (and relative levels of skill, if you understand the system). They're out of print, of course.
In The Transformers, a fair bit about the origin of the Transformer Civil War is only provided in text stories in the annuals.
Chassis: Due to the short run of the title (and the fact that it moved between three publishers), many details of the world where only spelled out in #0 issue which was intended as an introduction for new readers. This included profiles of characters who never made it into the series proper.
Before House of M, the numerous X-Men titles were loaded with students of the Xavier Institute whom were never given proper codenames or an identification of their powers. They were finally identified and sorted in The Official Handbook of the Marvel Universe A to Z #13 in 2010, five years after most of them lost their powers (and a good number killed).
The Final Crisis Sketchbook was supposed to give details about the evil New Gods and their heroic counterparts via new artwork and descriptions of them and Morrison's plans to update the characters for a new generation. Sadly NONE of it got into the final book, as Granny Goodness and Desaad had new forms, Orion never appeared after his death scene, and a new group of heroes were made into the new Forever People.
All of the tie-ins greatly elaborate on events critical to the main plots (the fall of Checkmates' main offices, Superman's whereabouts, who Mandrakk was, Darkseid's plot to create an army of Batman clone henchmen, Tattoo Man's Heel-Face Turn, and fall-out on Martian Manhunter's death and how Libra managed to be recruited by Darkseid) but DC has largely refused to collect them all together in a cohesive collection.
Not to mention the Seven Soldiers of Victory, Death of the New Gods, and Countdown to Final Crisis debacle; all three have to be read to understand how the New Gods got to where they were by the start of Final Crisis and in the case of Seven Soldiers of Victory, skipping Countdown at the very least means massive massive plotholes such as how Mary Marvel was captured by Darkseid and turned into his second in command/host for Desaad and as well as the true nature of how the New Gods fell and why Darkseid's entire scheme revolving around temporal trickery.
When Archie Comics' Sonic Universe released the Silver Saga storyline (which Silver the Hedgehog aided the alternate universe daughter of Knuckles, Lara-Su, against her power mad father), they released a number of blogs that told the story of Lara-Su before and after the storyline.
As well, Archie released the Official Sonic The Hedgehog Comics Encyclopedia Guide that revealed a whole set of new information about the characters and events that the comic itself didn't explain, such as Amy Rose's minor Reality Warper powers and that the events of Sonic Shuffle and Sonic the Hedgehog (2006) did occur.
Details on several of the characters, such as the members of Elle's Girl Posse, in All-Ghouls School could only be found on IDW's website.