There is a significant difference between reading Shakespeare and studying his work. The former is the pursuit of enjoyment, the second is a quest for understanding what the author was trying to accomplish through his work. In either case, knowing the English language is critical. Shakespeare wrote to a wide audience, both educated and not, aristocratic and common. Different characters were developed to spark interest in each social caste, but their roles were all designed to capture the essence of human nature. When studying Shakespearean plays, knowledge of social context, English history, and linguistic artistry will open the doors to understanding what The Bard captured in his work.
Before undertaking the study of any play, keep in mind that you must recreate the theater experience in your mind. You must be the director, using the stage direction supplied in the text, and follow the action through the different scenes. Each scene is a different place, and required that new props be placed on the stage to bring about the change of scenery. There are no wasted words. Literary devices, such as asides, the chorus, stage direction, dialogue, and soliloquy are all used to elicit specific understandings in the audience, of which you become a part. In order to experience the theatre, you must know, and employ, these devices as they were intended.
The language of Shakespeare can be quite intimidating to the young student, and presents specific challenges to readers who are not accustomed to antiquated meanings. Often, double entendre is hidden in seldom used denotations, and almost always in slight connotative shifts. In other words, you must sometimes stretch the application of a word or phrase so that you can capture its complete meaning. Many editions of Shakespeare's plays include translations to aid in this, and if you are not comfortable with 400 year-old English, using one of these versions is highly recommended. Over time, you will become more familiar with Elizabethan English and need the text's assistance less frequently. Also, keep a dictionary handy. I prefer the Oxford English Dictionary, but most reputable dictionaries should get you through.
Unlike today's novels, plays are conversations among characters without the benefit of a narrator linking together the conversation with information needed to differentiate between characters. When reading the play, assign a different voice to each character. It is also helpful to have each using a British accent. Because of the cadence, or meter, often the iambic pentameter relies on the accent to create the flow of stressed and unstressed syllables. Furthermore, while the lines are arranged with ten syllables each, pauses are dictated by the punctuation in the text, not by where the line ends. Read for the sentence, not the line. Don't get frustrated with words you think you may be mispronouncing, or if something isn't completely clear upon first reading. Push forward. Get the action, plot, and relationships between characters clear in your head before worrying about specific interpretations. Losing the flow of the dialogue causes confusion, and if you are reading aloud in a group, it is far more unnerving to stumble and falter than mispronounce an occasional word or two.
Until now, I have primarily addressed the reading of the text. Of course, to read is only the first step. Studying Shakespeare, or analysis of the text, is an entirely separate issue. This is where the questioning of motives, not only those of the characters, but also those of the author, comes into play. Why did a character say something is more important that what was said or who said it. How it was interpreted by the other characters leads us to the motives of the author, and ultimately to the understanding of the text as a whole. This cannot be completed on a first reading. In fact, after 20 readings, the attentive student will continue to find nuances that were hidden behind interpretations of the words or understandings of the context. Watching someone else's interpretation on television, or as presented on a stage, can broaden one's ability to see things from a different perspective.
Analyzing the way Shakespeare's characters interact, the words they use with one another and the context of their words will also help with the study of his work. A dying man's last words are always significant. Each play will have a character that represents the voice of reason, and that character is contrasted by a voice of passion and emotion. These are, after all, the two polar opposites that exist within us all. Consider yourself the therapist, seeking underlying motivations, wondering What if?
Shakespeare's work has lasted as artistry because it is artful. It would be rare for a person to get complete meaning from a painting on a first glance, or to fully appreciate a photograph without considering the photographer's viewpoint. Too many students of literature want to read, be entertained, and reach understanding in a single pass. If this is your desire, today's novels are designed with this in mind. However, if you want to study the work of a great artist you'd better be prepared to put in a bit more effort. Read the play, and then read it again. Discuss it with others. Read other people's analyses, and then create your own. Only then are you truly studying Shakespeare's work.