Having read TBotNS twice, I'd also recommend the audiobook. The reader actually does a great job, especially with the "stage script" scenes, which I always found tedious reading. It goes by very quickly.
Also, Robert Borski's Solar Labrynth (http://www.amazon.com/Solar-Labyrinth-Exploring-Gene-Wolfes/dp/0595317294) has some good guiding essays on the books.
The fact that Borski is debated as being wrong about several conclusions just add to my interest in how various parts are interpreted. The Urth.net (http://www.urth.net/) mailing list also has a lot of interesting discussion.
In my mind, digging into TBotNS is as rewarding as Gravity's Rainbow or Infinite Jest. I first read it in high school and just enjoyed the story. As I've gotten older, I keep finding more to enjoy.