There's a couple of things that make this novel sort of tough.
First of all (and there's no beating around the bush on this one), it's long. Really, really long. So pack some snacks, plan out your bathroom breaks, and wear something comfortable.
Second, Thackeray writes in complex, flowing sentences that need to be read carefully to get to the heart of their sarcasm. And he loves those big SAT words, so get your favorite dictionary website ready.
Third, it's funny. Why on earth is that a problem? Well, mostly it's because humor tends to be historical and contextual. So what people found funny in the 19th century is probably not exactly what we'd laugh at today. The most hard-to-stomach example of this in the novel is the character of Miss Swartz, a rich, orphaned, Jewish-Jamaican heiress who falls into the clutches of the Osborne family. Basically, there are a lot of racist and anti-Semitic jokes at her expense.
Fourth, there are a lot of historical details that you have to either figure out before you start reading or make sure you pay attention to in your annotated version of the novel. For instance, you need to have a little understanding of some of the financial transactions that happen: how money and property was inherited (some lands could only be passed down to eldest sons and could not be divided), how investments worked (before companies issued stock, most investment was in commodity futures), how credit was set up (before the days of credit-rating agencies, merchants had to figure out who was creditworthy just by looking at them and their friends and family), and what happened when credit wasn't repaid (depends on where the debt is incurred – check out how frequently Becky and Rawdon skip out on their European bills but how difficult it is for them to return to England).
Also, some sense of the history of the time is helpful. Although Thackeray was writing in the 1840s, he sets the novel in the 1820s, at the time of a huge financial meltdown, Napoleon Bonaparte's escape from Elba, and his second attempt to conquer Europe. This is important not just for understanding why Dobbin, George, and Rawdon are called to fight in Belgium, but also to get a sense of why Becky is constantly being compared to Napoleon. It's also important because although Thackeray is writing from the point of view of prudish and squeamish Victorians, he is writing about a time closer to the much more freewheeling and sexually liberated 18th century.