I, too, failed to finish Lolita. The prose is interesting, but I just couldn't get into the story.

I'm sure I'll be derided for this, but I think a good alternative that you might want to consider is Perfume by Suskind. It has a similar over-the-top style of prose, but it was very enjoyable to me and it had an interesting story. Only the ending was a bit strange, but it was well worth my time.

Give it a shot!