There is a wonderful tufte-latex package available in Google code. However, sometimes you just want _part_ of it’s features. I’ve ripped out the sidenotes code into an independent package. I do hope to contribute this back at some point, but I haven’t gotten around to it yet.
See https://gist.github.com/1046680 for the tufte-sidenotes.sty package.
My thanks to the tufte-latex developers for doing all the hard work. Seriously. I’ve literally just ripped the code out.
Why now? Someone on Twitter (@pulsar84) asked about it!