Though the plot is very straightforward, Lolita challenges its readers for three fundamental reasons. One, the language is ornate and complex. Part of the narrator's charm, and the prose's strength, is based upon the wide-range of vocabulary and literary and cultural references. It's definitely a good idea to have a dictionary nearby, as you will not only better understand what Humbert is saying, but also get a lot more out of the book, including understanding the full depth of his perversions.
Another element that contributes to the difficulty at the book is the subject matter. Simply put, the pedophilia is hard to stomach; the fact that Humbert preys so relentlessly on Lolita can sometimes make for tough reading.
A final factor is the reliability of the narrator. We are basically reading the story of a self-confessed madman, someone who enjoys games, and is presenting the story to a "jury" of readers. He occasionally contradicts himself or muddles facts, which can contribute to the reader's confusion. All told, however, getting to the end is rewarding – it's worth every challenge.