My experience was that the Sequences, like most pieces of writing densely packed with information, cannot be understood on a first read-through.
Instead, following how memory works by association, the first time you read through them a little will stick, and the next time more, and so on.
To be slightly more clear:
I suggest that the first time you read through them, focus on the bigger picture. Don't worry about any particular piece you don't understand, just keep going until you finish it. A decent metaphor for this might be how buildings are constructed: during your first reading, you are laying the foundations and creating the skeleton of steel girders.
Your next read-through will help to flesh out more of the meat, and so on.
I stress that it's important to keep going; Rationality is long, and a slog the first time through. If you have to skip ahead, skip.
Hope that helps.
I'm just beginning to go through Rationality: From AI to Zombies. I want to make the most of the lessons contained in the sequences. Usually when I read a book I simply take notes on what seems useful at the time, and a lot of it is forgotten a year later. Any thoughts on how best to internalize the lessons from the sequences?