I have been reading (and trying to understand ;-) research papers for some time now. Luckily I now have reading papers as part of my M.Sc. curriculum. The good thing about that is that we are supposed to read one or more papers every week and submit a short summary for one of them. Also, each one of us has the chance of doing a presentation on a selected paper.
While doing that I happened to read following papers on reading papers which I found quite useful.
"How to Read a Paper" - http://www.cs.montana.edu/mwittie/other%20linked%20files/paper-reading.pdf
"Reading a Computer Science Research Paper" - http://pages.cpsc.ucalgary.ca/~pwlfong/Pub/inroads2009.pdf
In fact the "multi-pass" approach given in the former is quite effective.
Reading research papers is not that easy for a couple of reasons. Firstly if you are new to the domain the paper is based on, it requires substantial amount of effort to get background knowledge, without which you can not make sense of what the paper says. Secondly, the content in a paper is so "condensed" that you need to "expand" the content while reading to get the actual idea. Thirdly, research papers mostly include fair amount of complex mathematics. Another important thing is that you might have to read some of the citations in order to understand the paper thoroughly; at least certain parts of it.
Despite all that, once you get used to it, you will find reading research literature quite interesting. It is a best way to learn about things happening at forefront of your field(s) of interest. To be frank after reading a good paper, I always get the feeling that I already know something that most others don't which will have a major impact in say 5-10 years of time.
So, start reading research papers!