Opinions vary. I put off reading the Baroque Cycle for years. I didn't like his ancestral-character chain idea in Cryptonomicon (otherwise a great book). However, I was completely sucked in by the Baroque Cycle. The adventures of half-cocked Jack are my favorite whimsical sub-stories and I can still vividly recall all of them, like the run-in with the Hexen leading to rising out of the phosphorescent pool. Still makes me chuckle.
But The Diamond Age is indeed densely layered. I'm thinking I got the same vibe from some of William Gibson's work like Pattern Recognition.