There is really no one best way. It depends on your learning style and what you hope to get out of the experience. If I am reading (or viewing or listening) for pleasure, I will get what I can out of it, and not worry too much about getting all of it. The first time through, if it's really confusing, I may just sample it, looking for bits I can relate to. After thinking it over, I'll come back to it, and usually find it much more comprehensible and enjoyable. (Hasn't worked yet for Finnegans Wake, but there's always an exception.) Only after I think I've grasped it will I look to the critical literature to see what other people think - I prefer exploration to a guided tour. I will look up unfamiliar words or references as I go along, though; it's sometimes essential to understanding. If I'm unfamiliar with the historical or cultural setting I might also read some relevant material in parallel.
Back when I had to get through stuff for school I was a little more apt to do some advance research to see what I was getting into and where the work fit in the orthodox academic taxonomy.
Can someone help me please?