There is an interesting reading of Despair on pages 100-108 of Gary Adelman's Retelling Dostoyevsky (Bucknell, 2001). 
Adelman, like Julian Connolly, notes connections to Notes from the Underground and Crime and Punishment (but does not mention The Double).  His most important contribution, however, is his claim that Hermann's perception of Felix as his double is an "expulsion into the open of his blocked homoeroticism, a crucial aspect of the novel that critics have persistently ignored."  Here are a few central passages that speak to this claim:
"Hermann's longings are externalized in a vagabond, a tramp fittingly named Felix, in whom he sees a mirror reflection of himself. Loving and murdering Felix are conflicting desires that initially coexist and seem to commingle; at any rate they are felt by Hermann as the same temptation." . . .
"Hermann's connubial arrangement, the menage in which he take covert satisfaction in sharing his wife, Lydia, with her cousin, Ardalion, is no longer satisfying. The double is born out of his temptation to take the next step." . . .
"Then Hermann has a terrible nightmare. Some sort of dog-like creature made of 'grease or jelly, or else perhaps, the fat of a white worm' keeps getting in his way. When it touches him, he feels something like an electric shock. Dreaming then that he has awakened, he makes out on the sheet of the bed next to his the likeness of the same dog liquefied, like white larvae. Groaning with disgust, he opens his eyes and spies on the bed next to his 'telltale stains of a slimy nature,' and peering closely, spots the little dog glued to the fat stem of a bedside plant.  Waking finally . . . Hermann decides to slip off before Felix wakes. 'That's finished for good; from this time forth, life shall be pure.'" . . .
I find Adelman's case fairly convincing on this point.  I had always related that white dog to the little dog that appears at the moment that Goliadkin's personality splits in The Double.  This may still be true, but Adelman's reading of Hermann's nightmare seems more insightful to me.  If Hermann is indeed a homosexual, this further ties him both to Smurov (The Eye), whose Matilda bears a striking "bovine" resemblance to Lydia (and Charlotte Haze, for that matter), and to Kinbote.  Smurov, remember, is described as a "sexual lefty" by Roman Bogdanovich, who further explains: "while yearning physically for some handsome specimen of mature virility, [homosexuals] often choose for object of their (perfectly platonic) admiration--a woman--a woman they know well, slightly, or not at all" (84).  The link, then, between The Eye, Despair, and Pale Fire--a link I'm interested in for other reasons--is strength ened.
While I'm writing about Despair, I thought I would mention another intertextual connection that occurred to me while teaching the novel this semester, alongside Stevenson's Jekyll & Hyde.  It seems to me that there are two rather blatant (intentional & meant to be discovered) allusions to J & H in Despair.  
1. In both novels, the appearance of the criminal (Hyde & Hermann) eludes representation by others. Nabokov, in his lecture on Stevenson, makes a good deal out of this fact, relating it to Stevenson's "difficult artistic problem."  Here are the relevant passages, side by side:
J & H (Signet Classic ed):
Enfield: "He is not easy to describe. There is something wrong with his appearance; something displeasing, something down-right destestable. . . . He must be deformed somewhere; he gives a strong feeling of deformity, although I couldn't specify the point. He's an extraordinary looking man, and yet I really can name nothing out of the way. No, sir; I can make no hand of it; I can't describe him. And it's not want of memory; for I declare I see him at this moment" (43-44).
"And still the figure had no face by which he might know it; even in his dreams, it had no face, or one that baffled him and melted before his eyes; and thus it was that there sprang up and grew apace in the lawyer's mind a singularly strong, almost inordinate, curiosity to behold the features of the real Mr. Hyde" (48-49).
In Chapter Two, Ardalion tries to draw Hermann's portrait:
"You've a tricky face," he said, screwing up his eyes. . . .
"Damned cheek," said Ardalion.
"Tell me," I asked him, "what makes you say I have a tricky face? Where is the snag?"
"Don't know. Lead doesn't get you. Next time I must try charcoal or oil." . . .
"No, if you ask me, I find there is something distinctly rum about it [Hermann's face]. All your lines sort of slip from under my pencil, slip and are gone" (39-40).
[A]nd in that wind-wrinkled puddle the trembling travesty of my face; which, as I noticed with a shock, was eyeless.
"I always leave the eyes to last," said Ardalion self-approvingly.
He held before him, at arm's length, the charcoal picture he had begun making of me" (51)
2. The second allusion is less tied to particular passages. Very simply, both Hermann's murder of Felix and Hyde's murder of Carew are revealed and/or confirmed by a stick left at the crime scene.  As VN notes, "He [Utterson] recognizes the remains of the stick as a cane he had presented to Dr. Jekyll many years before" (19).  The other half of the stick is found in Hyde's apartment.  "[B]ut when the stick was laid before him, he could doubt no longer; broken and battered as it was, he recognized it for one that he had himself presented many years before to Henry Jekyll" (61). 
In Despair, of course, Hermann is also given away by a stick (Felix's): "With his stick, reader, with his stick. S-T-I-C-K, gentle reader. A roughly hewn stick branded with the owner's name: Felix Wohlfahrt from Zwickau. With his stickau he pointed, gentle or lowly reader, with his stick! You know what a stick is, don't you? Well, that's what he pointed with--a stick--and got into the car, and left the stick there" (202-03).
Since I happen to agree with Carolyn Kunin that J & H operates as a rather crucial subtext in PF, these connections seem to at least validate the notion that VN might have employed like allusions here.
Matt Roth

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