The Sound and the Fury, by William Faulkner
The Sound and the Fury is a pretty difficult read, and it's one I'd like to give another shot in the future. There are multiple characters that have an odd internal dialogue (one has mental development of a small child and has no concept of time, while the other is scattered, troubled, and neurotic). A lot of the pieces fall together when the last character's section comes up - it has an easy-to-understand flow relative to the others and helps to fill in a lot of the gaps that were left by the hard-to-comprehend sections that came before it. I'm sure the earlier parts would have a lot more for me now that I have that context.
There's also a history of the Compson Family (family name of the protagonists) as an epilogue that helps out a lot, at least in my copy of the book. I'd almost recommend reading it beforehand if it didn't spoil the story.
The 5/5 rating is because the book is unique, but a book this dense is hard to find. It's a reluctant recommendation. Maybe this is what Infinite Jest is like?