By the way, Psymon, I know exactly how I'd be reading your particular EPUB edition of
Walden: because I have several tablets (from various platforms), I'd simply open your book simultaneously on
two tablets: say, the book's main text on my 10-inch iPad, and the footnotes/endnotes on iPad mini. That would pretty efficiently simulate the footnote display method #3 described above, that currently is not available in EPUB universe:
split screen. For a book like your
Walden edition, with a
huge amount of footnotes, seeing footnotes displayed
permanently might be even more useful than seeing them in popups (as in your webpage edition of the same book). As to moving back-and-forth between the main text and endnotes in your particular book – I'm afraid that would be a massive pain in the behind for all readers, including a Thoreau fan like myself, let alone a casual reader.
Oh, and no matter how ingeniously your webpage edition is crafted (and it
is ingenious), I refuse to read literary texts from webpages.

This is 2014. I convert any and all literary texts from webpages to EPUB and only read them that way – preferably in Marvin for iOS, but Moon+ Reader on Android is excellent as well. (I can't stand the generic bunch of apps like Kindle, iBooks, Kobo et al., because they're just too dumb functionally, and books look ugly in them.)
Is it possible to download or purchase your EPUB edition of
Walden somewhere, if you've already finished working on it? I plan to (re)read
Walden one of these days, and doing so in a heavily annotated edition such as yours might be instructive. I might even help you catch a few outstanding typos (if there are any) – a professional disease of mine.