"The Book of the New Sun" by Gene Wolfe.

Its a cold open without exposition into an unknown world. Is it fantasy? Is it sci-fi? There's possible hints of both. The protagonist is the narrator and the character tells the story. Since the character already knows this world, he doesn't both explaining what is happening very often. The style of speech the character uses including the vocabulary isn't quite common. The storytelling is unforgiving because the protagonist has no frame of reference from our world to explain. There's even more to the difficulty in following the story than this, but some of that speaks to the plot points, so I won't explain further.

If you want a hard, but eventually rewarding read, go into it cold without reading any synopsis or reviews.

Here's the opening paragraph from the first page:

"It is possible I already had some presentiment of my future. The locked and rusted gate that stood before us, with wisps of river fog threading its spikes like the mountain paths, remains in my mind now as the symbol of my exile. That is why I have begun this account of it with the aftermath of our swim, in which I, the torturer’s apprentice Severian, had so nearly drowned."