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.
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I was at the vet a while back; one of my dogs wasn't well (she's better now). The vet took her back, and after waiting for a few minutes, the vet came back with her.
Apparently there were two possible diagnosis: let's call them x and y, as the specifics aren't important for this anecdote.
The vet specifies that, based on the tests she's run, she cannot tell which diagnosis is accurate.
So I ask the vet: which diagnosis has the higher base rate among dogs of my dog's age and breed?
The vet gives me a funny look.
I rephrase: about how many dogs of my dog's breed and age get diagnosis x versus diagnosis y, without running the tests you did?
The vet gives me another funny look, and eventually replies: that doesn't matter.
My question for Lesswrong: Is there a better way to put this? Because I was kind of speechless after that.