When I posted about the Jack Vance Lexicon last week, Baron Opal lamented there wasn't one for Gene Wolfe--which reminded me that there was. Or more precisely, there are a couple. I figure the one most of interest to people would be the Lexicon Urthus by Michael Andre-Driussi. (The same guy responsible for GURPS New Sun, by the way.
Not exactly a lexicon, but the Burroughs Cyclopedia (which Amazon knows as the Burroughs Encyclopedia despite the name being pretty clear in the cover image) covers a whole bunch of new terminology coined by Edgar Rice Burroughs in his Tarzan, Mars, Venus, Pellucidar, etc. stories.