Sounds like you're wishing for what Tim Bernars-Lee says the Web was intended to be in the first place (if I understand him correctly) -- a two-way medium for annotations, comments, and contributions, rather than a one-way publishing medium.
There were some (non-Web) products like this back in the Windows 3.1 days; software Post-it notes for annotating documents and such. I seem to recall reading that they didn't work all that well, though I suspect the truth may be that they did what they claimed, they just didn't do what people would expect. I'd try searching for "sticky notes" "post-it" and such.
I know it's not your browser of choice, but have you tried Mozilla's tabbed browsing? You can keep related pages in multiple tabs in one window, and control-click on a link to start loading it in a background tab while you continue with the current page, and you can save an entire set of tabs as one bookmark. It doesn't do the highlighting, but it might get you partway. (And if you felt ambitious, you could hack the source to write the highlighting functionality yourself... :-)
Annotations
There were some (non-Web) products like this back in the Windows 3.1 days; software Post-it notes for annotating documents and such. I seem to recall reading that they didn't work all that well, though I suspect the truth may be that they did what they claimed, they just didn't do what people would expect. I'd try searching for "sticky notes" "post-it" and such.
I know it's not your browser of choice, but have you tried Mozilla's tabbed browsing? You can keep related pages in multiple tabs in one window, and control-click on a link to start loading it in a background tab while you continue with the current page, and you can save an entire set of tabs as one bookmark. It doesn't do the highlighting, but it might get you partway. (And if you felt ambitious, you could hack the source to write the highlighting functionality yourself... :-)