I finished the second book in the Book of the New Sun, The Claw of the Conciliator, a few days ago. My thoughts are very similar to the first book. I'm glad I read it and it was an interesting experience. If you like your books to present a story you can readily understand, and in contrast don't enjoy books that take great pleasure in confusing the heck out of you, these books would not be for you. It is very well written, however, full of allegory and mystery an great language and slowly reveals realities of the world of Urth in a fascinating way. I'm increasingly convinced that the whole will exceed the parts. I like all the invented nouns that are never explained, funnily enough.
This book is even more 'challenging' than the first, however. To some extent this is because it has two diversions from the plot which are easy to get bogged down in: one in which Severian reads a short story to his friend Jonas (yes the whole short story is included as a chapter and is essentially a retelling of Theseus and the Minotaur), and later a play is performed and Severian (using his eidetic memory) again recounts every line of the play from start to violent end - some 15 or so pages of odd prose and strange dialogue. This play makes very little sense, the players are clearly making up a lot of it as they go along, and it has almost no bearing on the book. A couple of glasses of wine got me through it. That said, I suspect that, once I've read the whole series, if I go back and re-read the play (not a notion that fills me with joy and longing), it might make much more sense, as I expect it presages much in the books that are yet to come.
Recommending this book would be difficult, as I imagine it wouldn't be to many folks taste, but its certainly a different and interesting SF creation, and I do intend to plow on. I will catch my breath and regain some sanity first by reading a few 'easier' books in the interim. Then on the The Sword of the Lictor, in the new year.