I don't think you can start reading The Sound and the Fury without being utterly confused, unless you come equipped with lots of analysis and commentary on the novel, and have read up on the structure of the novel before hand. I am keeping a volume of commentary nearby just in case, but generally speaking I prefer my first-reads of difficult novels to be 'vanilla,' even if it means being lost most of the time. And I can tell you that The Sound and the Fury is one of the more challenging books I've read. More difficult in a lot of ways than even authors like Joyce and Pynchon. That said, paying careful attention to stylistic shifts and even typographical ones will ease in unraveling the novel's complicated structure. (Watch out specifically for italics in the first chapter, and for punctuation in the second. My understanding is that the first two chapters are the most difficult in the book.) And even if the structure is confusing, a lot of the individual moments that make up the more complicated thread of the plot are quite beautiful when taken on their own. If you primarily enjoy reading for the sake of admiring wonderful prose rather than for the plot, you'll enjoy The Sound and the Fury even when you can't make heads or tails of it. The light at the end of the tunnel is that once you get through the first half of the novel things seem to settle down considerably, and it's really not that long of a book, at least not when you compare it to other famously 'impenetrable' novels. My copy runs to 320 pages, making it significantly shorter and much less dense (far, far less words per page) than works like Finnegans Wake, Gravity's Rainbow, and Infinite Jest.
Like Faulkner, Kafka is another one of those authors where I'm far more familiar with his short stories/novellas than I am with his novels. This is something I shall have to rectify. Unfortunately, I think that given the world we live in, if you could encourage everyone to read Kafka, they'd probably all agree that they relate to his work in some fashion. When the world itself has become Kafkaesque, things couldn't be any other way.