Understand that Faulkner often uses classic literature such as Shakespearean drama or the Bible as inspiration for his stories. The stories he tells are universal, even though they are mostly set in the South in the nineteenth and twentieth centuries.
Start with a novel. "The Sound and the Fury" or, if you are up for a challenge, "Absolom! Absolom!" are the best novels to begin with. In these novels, you will experience William Faulkner's mature style and will become acquainted with his themes of repetition, the Civil War and its aftermath, and the tragic South. You will also be introduced to the fictional county of Yoknapatawpha, Mississippi, that features in his fiction.
Focus your reading sessions. The first time you read Faulkner, the writing may strike you as dense and perhaps even incomprehensible. So read short passages of Faulkner in a focused manner to make the task of reading a novel more manageable.
Read aloud. Faulkner's writing is lyrical, although his sentence structure can be difficult to understand at times. Read the novels aloud to allow the meaning to come through more fully and to open your ears to the beauty of the language.
Be ready for shifts in time and narration. Faulkner uses a montage approach, and the time period or narrator may change without a clear indication of the shift. However, he does provide cues to indicate these changes. If you expect these shifts, you will likely pick up on his cues.
Read what critics have said about Faulkner's fiction. An anthology such as "William Faulkner: Six Decades of Criticism," edited by Theresa Towner, can provide you with a broad spectrum of ideas to help you better understand Faulkner as you read his fiction.
Research Southern history to gain context for William Faulkner's fiction. Focus on Reconstruction history and the history of smaller towns in the early part of the twentieth century. A book such as Eric Foner's "A Short History of Reconstruction" is a good starting point.