Before heading into Pnin and Ada and beyond, I just thought I'd share what I've learned about the actual mechanics of reading Nabokov, which isn't at all tricky or particularly difficult -- there's no mystery to it, really, but there are things worth knowing. I believe the standard word of advice for tackling a new writer is to take a dictionary, read up a bit on the author and his milieu, then dive. My advice is to just dive. If you haven't read any Nabokov and stumble into any of his novels, just read it. Don't bother with the dictionary (though he was a wordmeister). Plow on. Read it in one or a few heady gulps, but don't let the narrative momentum die over a particularly intricate word -- rely on context or dumb luck. There is something wonderful and warm about Nabokov's characters, where the larger meaning is really a sensual enjoyment of words, their cadence, the plasticity. Go for that and forgo the rest till a second or third reading. That's how I managed, anyway.
Put simply: Relax, unplug the phone,
save the dictionary for a second reading,
and enjoy
cribs
Brian Boyd's biographies, The Russian Years and The American Years, contain concise summaries and analyses of all the major novels (less so in the first volume), as well as some of the short stories and plays. Also superb is The Garland Companion (very, very expensive but worth it). Alfred Appel's annotated edition of Lolita is wonderful, but it should probably be reserved for a second or third reading -- delightful and illuminating as the commentary is, it pulls you away from the story (which isn't bad per se; it's just a very different way of approaching the novel). The collected novels in the Library of America edition feature very helpful endnotes by Brian Boyd -- very much to the point (mostly cataloguing literary references and allusions, as well as English translations of foreign-language passages (and puns), and unintrusive (no annoying little numbers1 littering the pages). Most of these volumes should be available in any good library or (shameless plug) bookshop.
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1I really hate footnotes in novels that were never intended to have them. They're fine in academic texts, or when used as a joke or as an integral part of the work (as in David Foster Wallace's Infinite Jest), but they're distracting in fiction. Footnotes also work in Boswell's Life of Johnson, mostly because I usually have no clue who is responsible for them -- there are at least three different sets of them in my edition: from Boswell himself, from Boswell's editor(s), and from the editors of my edition. The Library of America (for Nabokov and every other writer in the series) gives you commentary nicely appended in the back, along with the corresponding page number. You can read it or pretend it's not there or, as I suspect is often the case, turn to it only in times of extreme need.