I suppose it's best read during a Russian winter, when there's not a lot else to do and you sure don't want to go outside.
I've never tried scaling the summits of Proust, or Joyce, or even Eco. I've read a fair amount of Kant and Nietzsche, and it's dense, dense stuff. But with most philosophy (my undergrad minor), I find that after a lot of hard work and temple-rubbing, the pieces fall into place and it makes sense -- and that Eureka moment is, at least to me, enormously satisfying.
On Joyce, I've had folks who love his books tell me that the key is to wrap your head around the accent. and read it phonetically, like poetry, just gliding over it. If you slow down to try to grasp it all, you break the rhythm. That's why most people who love Joyce read each book again and again -- the more practice you gain at that, the more you can glean from it on each pass. It's a radical departure from most of the prose reading we do, where we're striving for depth and comprehension, which is part of why Joyce is such an acquired taste. I haven't yet tried to acquire it.
I hesitate to mention this, because I'll be asked to turn in my nerd card, but I thought the Lord of the Rings dragged quite a bit. I like rich detail and a well-fleshed-out background, but there comes a time to get to the point.