The literary references, so numerous as to be laughable in anyone else's hands, are so carefully selected as to be comprehensible even when I couldn't place the source.

Elspeth Morrison wrote a Dunnett companion in two volumes. The first volume covers Lymond, and the start of the Niccolo series, the second covers the end of the Niccolo series. They contain articles about the people, the places, and the literary references, down to the very obscure ones, and they're very good. Dunnett helped Morrison, and I think gave her access to her notes.