Michael Andre-Driussi, of Lexicon Urthus fame, has an interesting piece over at The Internet Review of Science Fiction that is worth the time of any fan of Wolfe’s New Sun series to check out. ‘What Gene Wolfe Expects of His Readers: The Urth of the New Sun as Answer to Mysteries in the Book of the New Sun‘ is a short, but well-reasoned article that describes how the fifth volume of this series, which was only ever conceived of as four books, is the key to unlocking many of its mysteries. Fans of the book know that, of course, but what Andre-Driussi shows by resort to a detailed analysis of the first tetralogy is how much Wolfe had already seeded his text with clues as to the major and minor mysteries of his series. Most of us just never picked up on them.
There is the foreshadowing of the deluge that accompanies the New Sun, the many alternate and paradoxical lives of Severian, the nature of Hethor’s ‘pets,’ the mind-wiped colonists of the origin story of Ushas in Dr. Taltos’ play . . . the list goes on. Andre-Driussi’s careful reading of the text unearths the subtle hints and precursors that illuminate Wolfe’s underlying intentions. A fascinating article that shows just how challenging, and rewarding, Gene Wolfe’s masterwork can be, and also reminds me that it’s been far too long since I’ve paid Urth a visit.

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I need to check this out. The first four were really rewarding, but for the fifth I felt like I was missing something.
I don’t think I’ve read any Wolfe where I didn’t feel like I was missing something, but I do know what you mean about Urth, as it throws a lot of strangeness at the reader even as it illuminates the books before it.