Ulysses is the only Joyce I've read.
Finnegan's Wake is interesting for a few reasons. At the time Joyce was writing it, he was nearly blind. To deal with this, he enlisted someone to take his dictation. That person was Samuel Beckett, one of my three favorite writers (the others being John Ashbery and Gertrude Stein).
Some speculate that FW is Joyce's attempt to understand schizophrenia, a condition his daughter suffered from. During the time he wrote it, she was a patient of Carl Jung. There's a quote attributed to Jung that goes something like this, "Two people are headed toward the bottom of a river. One is falling, the other is diving."
Still, I doubt I'll ever read it either. My goal is to try Ezra Pound's The Cantos this year. I'll probably fail.