One of the more phenomenal things about Nabokov is that he tells engaging stories and at the same time has an aesthetic appeal that changes from book to book. In Lolita, he plays on the reader's tendency to sympathize with a narrator by making the narrator reprehensible (and yet still on some levels sympathetic). He also writes it in the style of a memoir by a sensitive and poetic person, which lends a beautiful air to wretched intentions and actions. In modern parlance, it's a wonderful mindfuck.

If you like it, you might also like Pale Fire, which is a different sort of mindfuck. He manages at once to parody and ridicule Robert Frost, as well introduce a bizarre side story concocted by an unreliable editor and commentator. It could be real, it could be psychosis and it could be intentionally invented as a means of denigrating the poet whose work is being reviewed. It also plays on the reader's sensibilities in that it's hard to figure out in what order to read the book, or whether there really is such an order.

Ada is a bit more difficult because it really only reads well if you know some Russian and French in addition to English, and you probably have to read it twice to really appreciate it, and the world it is set in is an alternate reality where electricity has been banned and things work on hydraulic power primarily. That one is quite simply not for most people, but if you get it then it can be quite entertaining with its double and triple entendres, wordplay and puns. It also has an improper sexual relationship, though in this book incest is the taboo subject.

His earlier work, mostly originally in Russian (other than Pnin), is far more straightforward. The later works tend to drop off.