I've read everything Pynchon published, with the exception of the short stories and Inherent Vice, and in some ways Lot 49 is my favorite, though as another poster noted, Pynchon himself is or was not fond of it. I think the "night city" section near the end, as Oedipa seems on the verge of dissolving into the shadow America she's projected and/or discovered, is one of his best passages of sustained writing and a great contribution to a strain of American literature that includes Whitman and Melville. (Tony Tanner's chapter on Pynchon in "The American Mystery" is very good.) People who listen to the audiobook version are in for a special "treat," as it's the only occasion I can ever remember in which the reader plows on with seemingly no grasp of how the sentences are constructed, where to place the emphases, and what they mean in the first place.
The idea of an "other America," the ambiguous promise and legacies of this country, is something he frequently returns to, and that uncertainty is that the center of the book's mysteries, I think.
Tangentially related, ever since I first heard about Bioshock Infinite I've really wanted to know whether Ken Levine was inspired by Against the Day (opens at Chicago World's Fair -- another great passage; prominently features an airship that seems to grow to the size of a city over the book's long course; includes a disgraced Pinkerton's agent among its sprawling cast; hinges on slips between different time periods/parallel universes, ETC.)