I struggled with Don Quixote. After 100 pages or so I just felt like I was missing something. It was as if the story was just repeating itself. Did you get to the end? Did it get better?
Also, if you didn't read the Edith Grossman translation, try that, it is very smart and modern. The older translation feels a bit stuffy to me.
Do any movies do it justice?
I have not seen any, my guess is no! Sometimes I think Monty Python comes close.