The Book of the New Sun, the first series, is absolutely unique among fantasy/sci-fi literature. It's got a stunning secondary world, intricate puzzles of identity, numerous layers of mythological and religious metaphor and a dense, sophisticated prose style designed to make you read slowly and reread often.
The Book of the Long Sun, the next series, is (somewhat tangentially) related to the world of the New Sun sequence. It is also wildly different in scope, style and atmosphere. It is an even slower series than New Sun; most of the plot is developed through dialogue between the main characters (identity isn't so much of an essential element of the story as in New Sun) and all of the events occur in a much more compressed time frame. It's therefore got a languid pace, but I found it to be beautifully written, evocative and (as it proceeds) quite moving. It's so different from the New Sun books, though, that you can't be blamed for not liking the former even if you loved the latter.
The Book of the Short Sun, the third series, is a direct sequel to the Long Sun series. However, the styling and characterization present yet a third approach for Wolfe. There are some intersections also with Severian's world from New Sun. This series was, in my opinion, better than Long Sun but with twice the intricacy. It's a three-volume literary puzzle built around a reverent exploration of human identity worthy in my estimation of some of the 20th century's great fiction-writers (Joyce, Nabokov, Borges).
I'm currently rereading The Book of the New Sun to try to unravel some of the puzzles encoded into the book as well as to relive the intoxication of the first read.
Wolfe is difficult to read--there's no denying that. That's one of the reasons I love to read his books--they're like a counterweight to some of the other fluffy fantasy I read.
I've already indicated that I love reading Gene Wolfe precisely because of the intellectualism and complexity (which I don't think are affected or gratuitous) of his writing. I like many authors (e.g., Nabokov, Joyce, Borges) who experiment with narrative devices and who occasionally indulge in author/reader textual games. Wolfe fits in that class--and as an active reader I like such challenges as he poses. The Book of the New Sun, in addition to containing plot puzzles and numerous literary allusions, is a wonderful laboratory for narrative experiments, such that as a reader I feel like I'm engaged in a game, or a dance, with the author. The Long Sun and Short Sun books contain similar treasures of style and technique.
But I acknowledge that Wolfe's brand of quirkiness isn't designed to appeal to everyone. And when it comes to post-modern art and music (as opposed to literature), I have to say that I can't stand them. Furthermore, my other favorite fantasy authors-- Dunsany, Eddison, Vance--are about as mainstream technically as they come. Their greatness arises from their individual voices, not from experimental razzle-dazzle. (Voice is also what distinguishes them from commonplace authors such as Jordan and Eddings.) So in other words, I'm the first to admit that Wolfe's style is geared towards a self-selecting audience.
(But don't let that stop you from trying him out!)