Preliminaries
Mortimer J. Adler's 1 How to Read a Book is the only modern "self-help" book on this list, and gives you a framework for approaching difficult books like those on this page.
A key idea from the book is that every worthy non-fiction book deserves three readings. The first is a quick skim through the book to understand the structure of the book. The second pass is a slightly deeper dive to understand the central argument of thesis of the book. The finall pass is a careful read aimed at reflecting on the arguments presented in support of the central thesis, and where you agree or disagree.
Part I and part II will help you understand the goals and general method of reading difficult books, while part III gives tips on how to approach specific types of books (e.g. philosophical or history books).