Parentheses, commas, em-dashes, footnotes, endnotes, and starting new sentences can all be used for interlocutions.Endnotes maximize disruption, the reader has to turn to the back of the book to find the end note, then return to what they were originally reading. These are best reserved for citations or similar items where the added information is irrelevant to normal reading. Endnotes can have their own endnotes.
Footnotes aren't quite as disruptive as endnotes, but they're close. Footnotes can themselves have footnotes.
Surrounding an interlocution with two copies of the same character, whether a comma or a dash, reduces clarity —or makes the work ugly— when there's more than one interlocution in a sentence.
Parentheses allow nesting, don't disrupt the flow of reading the way footnotes or endnotes do, and don't reduce clarity with multiple interlocutions. It's generally much better to not have multiple interlocutions, as they inherently make the work hard to read. It's especially difficult to read nested interlocutions. But sometimes nested interlocutions are used to good effect, such as Terry Pratchett's humor involving footnotes of footnotes. Parenthetical interlocutions to define the first use of an acronym or initialism are also a good exception to the rule of avoiding multiple interlocutions in a sentence.