Knit the Classics is reading ‘Lolita’ this August – I ordered the annotated version from Amazon, and it’s just arrived.
This is one seriously intimidating book. First you’ve got the subject matter – I cannot imagine that a pedophilic romance is going to be an easy read. Then there’s the writing – I’ve got a 457 page volume here, of which 309 pages are the actual novel and the rest is annotations to explain the esoteric references of the novel. Plus lxxv pages of introductory text. That’s 75 pages, for those of us who need to use a roman numeral converter.
I’ve picked the annotated version for two reasons – I want to be able to get the various allusions and references being made, and I want a device that will distance me a bit from the writing. I expect the subject matter to be disturbing, and regularly breaking out of the manscript to read an annotation should provide a good distance from the work.
Knit-Write 
I bought the annotated version, as well – partly because I read that Amy Tan uses it, and reads Lolita every year to dwell on the gorgeous language. The only problem I’m having so far is keeping myself from reading the annotations and getting too interested in them to get back to the book!
I’m planning on doing it like this – read the annotations for a chapter through, then read the chapter, popping back to any annotations I can’t recall well enough or want to re-read in context. I think it should work for me.