Reading _The Sound and The Fury_
Having read it, I can attest that it definately is difficult.
After finishing it, I read the appendix which clarifies some things (and confuses others) and realized I'd missed much of the novel.
I found some helpful resources on the web:
Ole Miss has a "Faulkner Web" with Sound and the Fury commentary.
The hypertext version from the University of Saskatchewan is excellent. They've created a great resource. For example, you can read Benjy's section of the novel in chronological order. They've also highlighted Quentin's flashbacks by topic so you can determine what the hell he's thinking about.